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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