• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Credit Derivatives Research Papers

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?
ABS monitor and statistics charts (Feb 08 report)

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


  • absmonitor02-08.pdf
    192.3 KB · Views: 90
  • ABS Performance Stats 0208.xls
    3.2 MB · Views: 79
ML Global Structured Finance 2007-08 report

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


  • ML_Global_SF_Feb08.pdf
    848.9 KB · Views: 96
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)

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

This from a rating agency's perspective.


  • Moody's_2008_Outlook_(Home_Equity_ABS).pdf
    546.5 KB · Views: 68
CMBX and commercial real estate

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


  • CRE_Prices_The_Capital_Markets_Strike_Back.PDF
    355.5 KB · Views: 90
Demystifying CMBX: drilling down into the implied losses & defaults

From Credit Suisse fixed income research


  • Demystifying_CMBX_Drilling_Down_into_the_Impl.PDF
    436.6 KB · Views: 115
john andy --- amazing thread..... thanks a lot.... the files on this thread are really nice !!!
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.


  • UBS_MBS.pdf
    558.4 KB · Views: 114
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?


  • SCI_25.07.07.pdf
    462.5 KB · Views: 110
  • SCI_18.07.07.pdf
    579.8 KB · Views: 107
  • SCI_11.07.07.pdf
    387.3 KB · Views: 140
Amaxing, John, how can you find all these reaserch papers ? Thank you so much.:dance:
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.
duo of Deutsch Bank April 08 Securitization newsletters

North America and European editions.


  • esm_april_08.pdf
    578.3 KB · Views: 86
  • sec_monthly_4april.pdf
    592.3 KB · Views: 81
Losses implied by CMBX

from MS, another CMBX analytical report


  • Losses Implied by CMBX.pdf
    333.3 KB · Views: 98
A couple structured credit papers


  • DJiTraxx-Creditsatitsbest.pdf
    760.5 KB · Views: 149
  • Jure-Skarabot_Tranche%20trading%20strategies.pdf
    216.3 KB · Views: 118