3 papers
cond-mat2003
Debt Subordination and The Pricing of Credit Default Swaps
Peter B. Lee, Mark B. Wise, Vineer Bhansali
First passage models, where corporate assets undergo a random walk and default occurs if the assets fall below a threshold, provide an attractive framework for modeling the default…
cond-mat2002
Diversification and Gerneralized Tracking Errors For Correlated Non-Normal Returns
Mark B. Wise, Vineer Bhansali
The probability distribution for the relative return of a portfolio constructed from a subset n of the assets from a benchmark, consisting of N assets whose returns are multivariat…
nlin.AO2000
Universal Asymptotic Behavior of Mortgage Prepayments
Mark B. Wise, Vineer Bhansali
Mortgage prepayments play a crucial role in the pricing and hedging of mortgage backed securities. An important feature of mortgage prepayment modeling is burnout; as time goes on…