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Donchev, 2008 - Google Patents

Modeling defaults in residential mortgage backed securities: An intensity based approach

Donchev, 2008

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Document ID
15005758140268021708
Author
Donchev T
Publication year
Publication venue
Unpublished Paper, August

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Snippet

In May 2008 the outstanding issuance of European Asset Backed Securities was more than€ 1150 billion and Residential Mortgage Backed Securities (RMBS) accounted for 77% of this amount. Naturally, given these figures, managing default risk of the collateral pool becomes …
Continue reading at vu-business-analytics.github.io (PDF) (other versions)

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