A
ABSs (asset-backed securities), 192
Acme, Inc., balance sheets, 67
adjusted market value, 216
advance rates, market-value CDOs, 215-216
Altman s initial Z-score paper, 124-125
American option, 72
arbitrage CDOs versus balance-sheet CDOs, 222
arbitrage motivated CDOs, 198-199
arrival rate, 132
arrivals, 131
asset price volatility, 86
asset value
comparing Black and Cox model and Merton model, 112
sensitivity analysis of Merton model, 102
asset value models, 66
asset volatility
comparing Black and Cox model and Merton model, 111
sensitivity analysis of Merton model, 99-100
asset-backed securities (ABSs), 192
assets, 67
attachment point, 195
B
bad loans, 3
balance sheets
balance sheet motivated CDOs, 197
structural ...
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