Benchmarking collateral of triple-a rated securities
This paper presents a simple method to estimate the collateral associated with a Aaa tranche. The method is similar to historical simulation in the sense that there are no specific distributional assumptions, and the data fully determine the characteristics of the distribution. Both the transparency...
- Autores:
-
Sarmiento, Camilo
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2020
- Institución:
- Escuela Colombiana de Ingeniería Julio Garavito
- Repositorio:
- Repositorio Institucional ECI
- Idioma:
- eng
- OAI Identifier:
- oai:repositorio.escuelaing.edu.co:001/2501
- Acceso en línea:
- https://repositorio.escuelaing.edu.co/handle/001/2501
https://repositorio.escuelaing.edu.co
- Palabra clave:
- Distribución
Colateral
Métodos de distribución
Distribution
Collateral
Distribution methods
Non-parametric estimator
probabilities of default distribution
collateral
tail of the distribution
- Rights
- closedAccess
- License
- http://purl.org/coar/access_right/c_14cb