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Credit Securitisations and Derivatives: Challenges for the Global Markets by Harald Scheule, Daniel Rösch

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Index

ABCP-Programs see Asset-Backed- Commercial-Paper-Programs

absolute errors, multi-period factor copula models

ABSs see asset-backed securities

ABX index

accountability needs

see also regulations

accounting regulatory requirements

accounts receivables

see also factoring

Acharya, Viral V.

actuarial credit risk measures

see also real-world risk models

adaptive IS methods

see also cross-entropy simulation techniques

definition

adjustable rate mortgages (ARMs)

affine specification, market model framework

alternating direction implicit numerical methods (ADIs)

Altman’s sovereign default risk metric

American International Group (AIG)

American options

analytical approximate methods

Andersen’s approach (2006)

AP12

approximation tools

see also finite difference methods

APX Endex

arbitrage

multi-period factor copula models

regulatory capital arbitrage

arbitrage CDOs

see also collateralized debt obligations

arbitrage pricing argument, CLNs

Archimedian copulas

see also copulas

definition

Argentina

Asia

credit derivatives

sovereign default risk

ASRF see asymptotic risk factor models

asset correlations

credit portfolio correlations and uncertainty

estimation methods

examples

interval estimations

asset dynamics, models

asset managers

asset-backed securities (ABSs)

see also collateralized debt obligations; mortgage-backed…

definition

global structured finance ratings

impairments

issuance volume statistics

outstanding volume statistics

overview of the structures

statistics

Asset-Backed-Commercial-Paper-Programs ...

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