Index
A
ABSs (asset-backed securities), 198
Acme, Inc., balance sheets, 67
adjusted market value, 223
advance rates, market-value CDOs, 223-224
Altman’s initial Z-score paper, 128-129
American option, 72
arbitrage CDOs versus balance-sheet CDOs, 229
arbitrage motivated CDOs, 204-205
arrival rate, 136
arrivals, 135
asset price volatility, 87
asset value
comparing Black and Cox model and Merton model, 114
sensitivity analysis of Merton model, 104-106
asset value models, 66
asset volatility
comparing Black and Cox model and Merton model, 115
sensitivity analysis of Merton model, 101-102
asset-backed securities (ABSs), 198
assets, 66
attachment point, 201
B
bad loans, 3
balance sheets
balance sheet motivated CDOs, 203 ...
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