Credit Derivatives Research Papers

[Andy Nguyen]

Merrill Lynch Credit Derivatives Handbook 2006 vol 1,2

 

[Andy Nguyen]

A 2003 version of this Handbook from Merrill Lynch. Available online from
http://www.cema.edu.ar/conferencias/download/CDS20.8.pdf

 

[Andy Nguyen]

A few more from Barclays and Merrill Lynch

 

[Andy Nguyen]

Risk Premia in Structured Credit Derivatives

 

[Andy Nguyen]

Deutsche Bank Credit Derivatives and Structured Credit 2000

 

[John]

for those interested in the subprime stuff. November mortgage remittance report on ABX collateral (see attachment)

 

[John]

anyone with access to emerging market fixed income research (Latin America, Asia, etc.)?

 

[John]

keeping up with the theme of subprime mortgage and CDO,
Citi's 'A Simple Guide to Subprime Mortgages, CDO and Securitization,
Subprime CDS of ABS and ABX index,
Credit Suisse, 'Introduction to ABS CDS and the ABX index' &
Lehman Bros, 'Introduction to the ABX'

 

[John]

Estimating CDO of ABS Writedowns

Citi structured credit research: Estimating CDO of ABS Writedowns

 

[John]

Moody's research of the extend of financial guarantor's subprime exposure

The original Moody paper on Financial Guarantor's subprime exposure (Sept 07)
http://www.mbia.com/investor/publications/moodys_september2007.pdf

Recent Dec 07 update:
http://www.mbia.com/investor/publications/moodys_dec5_2007.pdf

 

[Andy Nguyen]

John,
Do you have any recent Credit Derivative guide from JPM (circa 2007) or correlation paper from Nomura. There is a quantitative analyst at Nomura named Michiko Whetten Ph.D. Program in Business - Michiko Whetten/Finance

She is a faculty at Baruch as well. I tried to email to both her work and Baruch email but they both bounced. She has a few interesting research papers that relevant to my work.

 

[John]

John,
Do you have any recent Credit Derivative guide from JPM (circa 2007) or correlation paper from Nomura. There is a quantitative analyst at Nomura named Michiko Whetten Ph.D. Program in Business - Michiko Whetten/Finance

She is a faculty at Baruch as well. I tried to email to both her work and Baruch email but they both bounced. She has a few interesting research papers that relevant to my work.

Is this the Nomura paper that you are looking for? I think there are newer paper from other ibs that talk about 'base' correlation.

 

[John]

John,
Do you have any recent Credit Derivative guide from JPM (circa 2007) or correlation paper from Nomura. There is a quantitative analyst at Nomura named Michiko Whetten Ph.D. Program in Business - Michiko Whetten/Finance

She is a faculty at Baruch as well. I tried to email to both her work and Baruch email but they both bounced. She has a few interesting research papers that relevant to my work.

My colleague gave me this paper from Barcap: it has a section showing how to value bespoke tranches with base correlations ;-)

 

[Andy Nguyen]

I use a newer paper from Nomura. It's on Securitization.net at
http://www.securitization.net/pdf/Nomura/Correlation_17Oct05.pdf

The interesting part is that most papers use data from around May 05 (CDX series 4) when Ford, GM default and turn the whole credit world upside down.

By the way, did you hear about Markit aquired IIC and now owns right to all the itraxx index ? Interestingly, Tim Grant is UBS representative on the IIC board. I talked to him today and his group does quite a lot of index/tranche trading as well.

Here is another paper from Citigroup on NYU website that is pretty relevant to tranche relative value trading.
http://w4.stern.nyu.edu/salomon/docs/derivatives/Jure-Skarabot_Tranche trading strategies.pdf

 

[John]

I use a newer paper from Nomura. It's on Securitization.net at
http://www.securitization.net/pdf/Nomura/Correlation_17Oct05.pdf

The interesting part is that most papers use data from around May 05 (CDX series 4) when Ford, GM default and turn the whole credit world upside down.

By the way, did you hear about Markit aquired IIC and now owns right to all the itraxx index ? Interestingly, Tim Grant is UBS representative on the IIC board. I talked to him today and his group does quite a lot of index/tranche trading as well.

Here is another paper from Citigroup on NYU website that is pretty relevant to tranche relative value trading.
http://w4.stern.nyu.edu/salomon/docs/derivatives/Jure-Skarabot_Tranche trading strategies.pdf

how's your group doing given all the volatility lately. I heard that the bid/ask for index like ABX jumps all over the place.

 

[Andy Nguyen]

My colleague gave me this paper from Barcap: it has a section showing how to value bespoke tranches with base correlations ;-)

This is quite good and recent paper, John. Base correlation is all we have at this moment. We use Copula to calibrate from tranche spreads and back out to find base correlation. We have models to find tranche correlation too but most of the time, the model fails to calibrate at the mezz and super senior tranches.
I like the charts on that paper. Look similar like the output of all the tools I'm building

how's your group doing given all the volatility lately. I heard that the bid/ask for index like ABX jumps all over the place.

Spread is really choppy. Liquidity is shot. Dealers that we used to get quotes from are no longer providing liquidity. Less trades but with greater nominal when we find good trades.
Hopefully liquidity will return in Q1,Q2 of 08 or earlier now that the Fed pumps more cash into the market. In either case, the tools that we are building up will be used extensively when market returns to normal.
I just try to keep positive outlook of things

 

[John]

The original Moody paper on Financial Guarantor's subprime exposure (Sept 07)
http://www.mbia.com/investor/publications/moodys_september2007.pdf

Recent Dec 07 update:
http://www.mbia.com/investor/publications/moodys_dec5_2007.pdf

Dec 14: Moody's reaffirms AAA rating on several financial guarantors
http://www.mbia.com/investor/publications/moodys_dec14_2007.pdf

 

[Andy Nguyen]

Barclays CDS Curve Trading Handbook 2008

 

[John]

AWESOME paper. Detailed trading and risk management discussion across strategies.

Also like the fact that the paper discusses how the trades worked out AFTER these were recommended in earlier papers. One of the best papers I have seen. Thank you for sharing it.

 

[maciek]

Great thread, very usefull and interesting pdfs, thanks guys!