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Structured products

Robust asset allocation under model risk

Financial investors often develop a multitude of models to explain financial securities' dynamics, none of which they can fully trust. Model risk (also referred to as ambiguity) prevents investors from using the classical framework of expected utility…

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Guilty or not?

Rating agencies have been widely criticised for assigning AAA ratings to securitisations backed by subprime mortgages. Ashish Dev and Bo Qian argue that while the criticism is justified for some securitisation structures, there was a basis for assigning…

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