Credit Derivatives Research Papers

[Andy Nguyen]

A few classic goodies on this page from O'Kane the CDS guy from Lehman.
reading

 

[John]

Credit Card ABS

A trio of papers discussing current affairs of Credit Card asset-backed securities. This might be next market to blow up.

See which financial firms are more exposed to the deterioration of credit-worthiness of credit card receivables.

 

[John]

Citi Global Securitized Products Strategy

Nice paper from Citi covering various securitized products.

 

[bob]

Two papers from Brigo describing the theoretical framework for and common pitfalls of adapting standard market models to single-name and index options as well as other volatility-dependent instruments such as CMCDS.

 

[John]

Re-remic

There seem to be a resurgence in RMBS issuance in the form of re-remic. Here are two recent papers that address this phenomenon.

I would read both papers in order to get a bigger picture of things in this particular structured finance space.

 

[John]

CLO

A couple of papers on CLO. A colleague of mine believes that this will be an area of structured finance that will recover first, as an CLO is usually constructed of corporate loans, without the exposure to the mortgage market.

 

[Andy Nguyen]

Been looking for a good credit derivatives modeling book and this one is promising. Anyone has it?
Modelling Single-name and Multi-name Credit Derivatives by Dominic O'Kane

 

[gts]

CMBS/CMBX, ABX

A couple of papers on CMBS/CMBX; one on ABX

Wonderful info. Can you point me to HELOC research (preferably between 2006 and 2007)? Best

 

[John]

Wonderful info. Can you point me to HELOC research (preferably between 2006 and 2007)? Best

I think there are a few HELOC papers there. Let me know if you cannot find them. I might be able to dig them out from somewhere.

 

[John]

Here's one Credit Suisse HELOC report from June 2008

 

[neeleshgupta]

Some more

 

[Andy Nguyen]

https://pages.stern.nyu.edu/~igiddy/

 

[Paul Lopez]

https://pages.stern.nyu.edu/~igiddy/

Thank you sir lovely webpage.