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Credit Derivatives Research Papers

Morgan Stanley Credit Derivatives Insights

Compilation of Morgan Stanley Credit Derivatives papers, named 'Credit Derivatives Insights'. Total of eight volumes here. Should provide good ideas for credit derivatives trading strategies.

Articles spanning from 2003 to 2006.


  • MS_Credit_Deriv_Insights_Compilation_1.pdf
    842 KB · Views: 195
  • MS_Credit_Deriv_Insights_Compilation_2.pdf
    741.9 KB · Views: 132
  • MS_Credit_Deriv_Insights_Compilation_3.pdf
    868.5 KB · Views: 116
  • MS_Credit_Deriv_Insights_Compiliation_4.pdf
    823.1 KB · Views: 115
  • MS_Credit_Deriv_Insights_Compiliation_8.pdf
    929.7 KB · Views: 142
  • MS_Credit_Deriv_Insights_Compiliation_7.pdf
    3.1 MB · Views: 119
  • MS_Credit_Deriv_Insights_Compiliation_6.pdf
    1 MB · Views: 109
  • MS_Credit_Deriv_Insights_Compiliation_5.pdf
    1.3 MB · Views: 111
Heterogenous Gaussian Copula Correlation Model

JPMorgan: Heterogenous Gaussian Copula Correlation Model paper


  • 05_09_09_HGC_corr_model_intro.pdf
    434.7 KB · Views: 133
CS March ABX and mortgage ABS update

Some update about the the latest mortgage remittance report, ABX and servicing risk.


  • Market_Tabs_040408.pdf
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Synthetic CDO and CLO primers

An introductory primer from Lehman on Synthetic CDOs and another one on CLO.


  • Introductory_Reports_on_Synthetic_CDOs.pdf
    890.8 KB · Views: 111
  • Recent_CLO_Primers.pdf
    449.8 KB · Views: 122
CDO/Structured Credit Monthly

Lehman Bros CDO/Structured Monthly April 2008 issue


  • CDO-Structured_Credit_Monthly_-_Apr2008.pdf
    393.3 KB · Views: 79
Morgan Stanley Structured Credit Handbook

Morgan Stanley Structured Credit Handbook, came across this today.


  • StructuredCreditHandbook2005.pdf
    2.7 MB · Views: 184
Hi, John:

Thanks for those valuable research papers. Do you have any research papers related to the interest rate derivatives?

Structured Credit Investor - Pick of the Month

Structured Credit Investor. Selection of news and views from the month of March.


  • SCI_Pick_of_the_Month_May08.pdf
    917.6 KB · Views: 57
DB Securitization Monthly (May 2008)

DB Securitization Monthly (May 2008).

Thorough coverage of most structured finance classes. Auto, credit card, mortgage, student loan, Euro & Japan ABS.


  • secur_monthly_may08.pdf
    627.9 KB · Views: 57

Do you have any papers related to using iTraxx to hedge iBoxx portfolio? Or anything about using CDI to hedge bond portfolios?

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


  • Beware_of_Falling_Prices.pdf
    124.7 KB · Views: 73
  • CMBS_Market_Watch_Weekly_CMBS_Credit_Update.PDF
    543.2 KB · Views: 67
  • CMBS_analysis.pdf
    253.7 KB · Views: 83
DB Securitization monthly July 08

DB Securitization monthly July 08 - Global securitization research


  • securitization_08july.pdf
    617.3 KB · Views: 51

Do you have any papers related to using iTraxx to hedge iBoxx portfolio? Or anything about using CDI to hedge bond portfolios?

check out also the book 'Active Credit Portfolio Management'. Lots of stuff on hedging credit portfolio using credit indices. The authors are based mainly in Europe, so the focus is more on European credit products.
Deutsche Bank Securitization monthly August 08 - Global securitization research

Deutsche Bank Securitization monthly August 08 - Global securitization research


  • securitization_aug08.pdf
    763.6 KB · Views: 58
there was a great deal of discussions about Re-REMICS a few weeks ago. Fifth Ratings has just released a research paper discussing this very issue.

I am also including an UBS research piece on the Re-Remics.


  • re-remicfitch.pdf
    96.6 KB · Views: 60
  • re-remics.pdf
    75.4 KB · Views: 59
A primer on residential mortgage credit

Bank of America: "A primer on residential mortgage credit"


  • A_Primer_on_Residential_Mortgage_Credit.pdf
    870.5 KB · Views: 96