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Credit Derivatives Research Papers

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.
 

Attachments

  • DB_Advanta_CC_ABS.pdf
    101.6 KB · Views: 59
  • DB_auto_ABS_march_09.pdf
    353.2 KB · Views: 54
  • Credit_Card_ABS_Under_Duress.PDF
    336.7 KB · Views: 57
Citi Global Securitized Products Strategy

Nice paper from Citi covering various securitized products.
 

Attachments

  • citi_global_overview_20090612.pdf
    952.7 KB · Views: 135
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.
 

Attachments

  • Brigo credit index options.pdf
    288.1 KB · Views: 106
  • Brigo CDS formulas.pdf
    257.3 KB · Views: 129
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.
 

Attachments

  • us_fsi_Sec_RE_Speaking of Securitization-June 2009.pdf
    159.7 KB · Views: 63
  • JPM_MBS_Credit_Monthly_2009-08-07_315593.pdf
    1.9 MB · Views: 66
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.
 

Attachments

  • CLO.pdf
    340.4 KB · Views: 117
  • CLO Triple-C Buckets.pdf
    223.2 KB · Views: 90
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.
 
Here's one Credit Suisse HELOC report from June 2008
 

Attachments

  • HELOC_Market_Update.PDF
    252.1 KB · Views: 101
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