The DOI matches its Crossref record; 15 of the 15 references it cites were found in a registry or an index.
Risk and Valuation of Collateralized Debt Obligations
Abstract
In this discussion of risk analysis and market valuation of collateralized debt obligations, we illustrate the effects of correlation and prioritization on valuation and discuss the “diversity score” (a measure of the risk of the CDO collateral pool that has been used for CDO risk analysis by rating agencies) in a simple jump diffusion setting for correlated default intensities.
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Cites
The Market for "Lemons": Quality Uncertainty and the Market Mechanism
Akerlof, G. A. (1970) · The Quarterly Journal of Economics · doi:10.2307/1879431 · Cited by 23,016
FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY
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A Theory of the Term Structure of Interest Rates
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Stochastic Integration and Differential Equations
Protter, P. E. (2005) · Stochastic Modelling and Applied Probability · doi:10.1007/978-3-662-10061-5 · Cited by 4,583
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Duffie, D., Pan, J., & Singleton, K. J. (2000) · Econometrica · doi:10.1111/1468-0262.00164 · Cited by 2,712
Self-citationModeling Term Structures of Defaultable Bonds
Duffie, D., & Singleton, K. J. (1999) · Review of Financial Studies · doi:10.1093/rfs/12.4.687 · Cited by 2,542
Self-citationA YIELD‐FACTOR MODEL OF INTEREST RATES
Duffie, D., & Kan, R. (1996) · Mathematical Finance · doi:10.1111/j.1467-9965.1996.tb00123.x · Cited by 2,491
Self-citationPricing Derivatives on Financial Securities Subject to Credit Risk
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On cox processes and credit risky securities
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Limited liability and incentive contracting with ex-ante action choices
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Cited by
Affine processes and applications in finance
Duffie, D., Filipović, D., & Schachermayer, W. (2003) · The Annals of Applied Probability · doi:10.1214/aoap/1060202833 · Cited by 1,041
Self-citationAn Empirical Analysis of the Pricing of Collateralized Debt Obligations
LONGSTAFF, F. A., & RAJAN, A. (2008) · The Journal of Finance · doi:10.1111/j.1540-6261.2008.01330.x · Cited by 299
Financial modeling on the cell broadband engine
Agarwal, V., Liu, L.-K., & Bader, D. A. (2008) · 2008 IEEE International Symposium on Parallel and Distributed Processing · doi:10.1109/ipdps.2008.4536320 · Cited by 29
Metadata
- Authors
- Duffie, D., & Gârleanu, N.
- Venue
- Financial Analysts Journal
- Publisher
- Informa UK Limited
- Published
- 2001-01
- Volume
- 57
- Issue
- 1
- Pages
- 41-59
- ISSN
- 0015-198X (ISSN-L)
- 1938-3312
- OpenAlex
- W2129525667
- Cited by
- 599
- References
- 15
- FWCI
- 19.82
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
