Credit Derivatives Research Papers

[cw202]

Excellent paper. I thoroughly enjoyed reading it. Thanks for sharing. Do you have any of the other Barclay papers in the back, excluding the single name trade ideas?

 

[John]

Standard & Poor's Corporate Securtization Seminar 2008

Series of broadcast presentations by five S&P analysts

Mediasite Presentation Catalog

 

[John]

ABS monitor and statistics charts (Feb 08 report)

That time of the month again. ABS performance report and statistics spreadsheet.

 

[John]

ML Global Structured Finance 2007-08 report

ML reviews developments in each region of the globe in 2007 and highlights expectations for 2008.

 

[Andy Nguyen]

HSBC Pan-Asian Equity Q1/2008

HSBC Pan-Asian Equity Strategy Q1-2008

 

[John]

The ABCs of HELs

This is an old 2004 paper covering the home-equity ABS bonds, a bit old but quite thorough in its coverage of this asset class (used in one of the Financial Engineering competitions)

https://www.quantnet.com/threads/2007-annual-financial-engineering-case-competition.400/

 

[John]

Moody's 2007 Review and 2008 Outlook: Home Equity ABS

This from a rating agency's perspective.

 

[John]

CMBX and commercial real estate

Credit Suisse report: CRE Prices: The Capital Markets Strike Back

 

[John]

Demystifying CMBX: drilling down into the implied losses & defaults

From Credit Suisse fixed income research

 

[pardasani]

john andy --- amazing thread..... thanks a lot.... the files on this thread are really nice !!!

 

[cw202]

UBS Mortgage Strategist

Fed Actions We view the Primary Credit Dealer Facility (discount-window-like lending for primary dealers) as the most important step the Fed has taken throughout the entire crisis. In conjunction with the TSLF, it is designed to provide liquidity and alleviate counterparty risk concerns (page 12). Despite these safety nets, we expect financing to remain an issue.

 

[John]

Structured Credit Investor

A trio of Structured Credit Investor weekly newsletters here. You will find some pretty neat articles about CDS and CDX.HY trading.

Unfortunately my company does not subscribe these anymore, it is a shame as these are darn good papers. Anyone's got a subscription to this currently?

 

[Yan He]

Amaxing, John, how can you find all these reaserch papers ? Thank you so much.:dance:

 

[John]

Amaxing, John, how can you find all these reaserch papers ? Thank you so much.:dance:

Our group gets a constant supply of these papers from the dealers. Sometimes I get them from our groups within our company as well.

 

[John]

duo of Deutsch Bank April 08 Securitization newsletters

North America and European editions.

 

[John]

Losses implied by CMBX

from MS, another CMBX analytical report

 

[Andy Nguyen]

Lehman Brothers Exotic Credit Derivatives

 

[Andy Nguyen]

A friend of mine sent this over. Good stuff.

 

[John]

A friend of mine sent this over. Good stuff.

wow, really good stuff. I have been looking for a primer on cash CDO :tiphat:.

 

[John]

A couple structured credit papers