The Risk of Tranches Created from Mortgages
Author:
Affiliation:
1. John Hull is professor of finance at the Joseph L. Rotman School of Management, University of Toronto, Ontario, Canada.
2. Alan White is professor of finance at the Joseph L. Rotman School of Management, University of Toronto, Ontario, Canada.
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance,Accounting
Link
https://www.tandfonline.com/doi/pdf/10.2469/faj.v66.n5.6
Reference9 articles.
1. The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*
2. Asymmetric correlations of equity portfolios
3. Correlated Default Risk
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