Posts tagged ‘structured finance’
R2 Financial Technologies Announces New Partnership With Trepp for CMBS Data and Analytics on November 16th, 2011
TORONTO, ONTARIO–(Marketwire – Nov. 16, 2011) – R2 Financial Technologies announced today a new partnership agreement with Trepp LLC that enables users of the NxR2 system to [...]
Pricing, Hedging and Managing the Risk of Structured Finance Portfolios on June 20th, 2011
RiskMinds USA
Boston, MA
June 16, 2011
Valuation of Structured Finance Products with Implied Factor Models on May 26th, 2011
Nedeljkovic J., Rosen D. and Saunders D., 2011, Valuation of Structured Finance Products with Implied Factor Models, in Credit Risk Frontiers: Subprime Crisis, Pri.ing and Hedging, CVA, MBS, Ratings, and Liquidity, T. Bielecki, D. Brigo, F. Patras (Editors), Wiley
The recent credit crisis has highlighted limitations of the industry’s general understanding and risk management practices of structured credit portfolios. Market participants clearly misunderstood and underestimated the risks in many securities, especially with respect to the default correlation, systematic risk and contagion effects. In particular, pricing models [..]