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Model specification and collateralized debt obligation (mis)pricing

  • Published:2018-07-05 Issue:11 Volume:38 Page:1284-1312
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:J Futures Markets

Author:

Luo Dan12,Tang Dragon Yongjun3,Wang Sarah Qian4ORCID

Affiliation:

1. School of Finance; Shanghai University of Finance and Economics; Shanghai China

2. Shanghai Key Laboratory of Financial Information Technology; Shanghai China

3. Faculty of Business and Economics; University of Hong Kong; Hong Kong Hong Kong

4. Warwick Business School; University of Warwick; Coventry UK

Funder

National Natural Science Foundation of China

Hong Kong Research Grants Council, General Research Fund HKU

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference53 articles.

1. Liquidity risk and correlation risk: A clinical study of the General Motors and Ford downgrade of May 2005;Acharya;Quarterly Journal of Finance,2015

2. 2008

3. Credit risk transfer and contagion;Allen;Journal of Monetary Economics,2006

4. From insurance risk to credit portfolio management: A new approach to pricing CDOs;Andreoli;Quantitative Finance,2016

5. Exploring the sources of default clustering;Azizpour;Journal of Financial Economics,2018

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