Credit Derivatives Research Papers

for those interested in the subprime stuff. November mortgage remittance report on ABX collateral (see attachment)
 

Attachments

anyone with access to emerging market fixed income research (Latin America, Asia, etc.)?
 
keeping up with the theme of subprime mortgage and CDO,
Citi's 'A Simple Guide to Subprime Mortgages, CDO and Securitization,
Subprime CDS of ABS and ABX index,
Credit Suisse, 'Introduction to ABS CDS and the ABX index' &
Lehman Bros, 'Introduction to the ABX'
 

Attachments

John,
Do you have any recent Credit Derivative guide from JPM (circa 2007) or correlation paper from Nomura. There is a quantitative analyst at Nomura named Michiko Whetten Ph.D. Program in Business - Michiko Whetten/Finance

She is a faculty at Baruch as well. I tried to email to both her work and Baruch email but they both bounced. She has a few interesting research papers that relevant to my work.
 
Andy said:
John,
Do you have any recent Credit Derivative guide from JPM (circa 2007) or correlation paper from Nomura. There is a quantitative analyst at Nomura named Michiko Whetten Ph.D. Program in Business - Michiko Whetten/Finance

She is a faculty at Baruch as well. I tried to email to both her work and Baruch email but they both bounced. She has a few interesting research papers that relevant to my work.
Click to expand...
Is this the Nomura paper that you are looking for? I think there are newer paper from other ibs that talk about 'base' correlation.
 

Attachments

Andy said:
John,
Do you have any recent Credit Derivative guide from JPM (circa 2007) or correlation paper from Nomura. There is a quantitative analyst at Nomura named Michiko Whetten Ph.D. Program in Business - Michiko Whetten/Finance

She is a faculty at Baruch as well. I tried to email to both her work and Baruch email but they both bounced. She has a few interesting research papers that relevant to my work.
Click to expand...

My colleague gave me this paper from Barcap: it has a section showing how to value bespoke tranches with base correlations ;-)
 

Attachments

I use a newer paper from Nomura. It's on Securitization.net at
http://www.securitization.net/pdf/Nomura/Correlation_17Oct05.pdf

The interesting part is that most papers use data from around May 05 (CDX series 4) when Ford, GM default and turn the whole credit world upside down.

By the way, did you hear about Markit aquired IIC and now owns right to all the itraxx index ? Interestingly, Tim Grant is UBS representative on the IIC board. I talked to him today and his group does quite a lot of index/tranche trading as well.

Here is another paper from Citigroup on NYU website that is pretty relevant to tranche relative value trading.
http://w4.stern.nyu.edu/salomon/docs/derivatives/Jure-Skarabot_Tranche trading strategies.pdf
 
Andy said:
I use a newer paper from Nomura. It's on Securitization.net at
http://www.securitization.net/pdf/Nomura/Correlation_17Oct05.pdf

The interesting part is that most papers use data from around May 05 (CDX series 4) when Ford, GM default and turn the whole credit world upside down.

By the way, did you hear about Markit aquired IIC and now owns right to all the itraxx index ? Interestingly, Tim Grant is UBS representative on the IIC board. I talked to him today and his group does quite a lot of index/tranche trading as well.

Here is another paper from Citigroup on NYU website that is pretty relevant to tranche relative value trading.
http://w4.stern.nyu.edu/salomon/docs/derivatives/Jure-Skarabot_Tranche trading strategies.pdf
Click to expand...

how's your group doing given all the volatility lately. I heard that the bid/ask for index like ABX jumps all over the place.
 
John said:
My colleague gave me this paper from Barcap: it has a section showing how to value bespoke tranches with base correlations ;-)
Click to expand...
This is quite good and recent paper, John. Base correlation is all we have at this moment. We use Copula to calibrate from tranche spreads and back out to find base correlation. We have models to find tranche correlation too but most of the time, the model fails to calibrate at the mezz and super senior tranches.
I like the charts on that paper. Look similar like the output of all the tools I'm building :)
John said:
how's your group doing given all the volatility lately. I heard that the bid/ask for index like ABX jumps all over the place.
Click to expand...
Spread is really choppy. Liquidity is shot. Dealers that we used to get quotes from are no longer providing liquidity. Less trades but with greater nominal when we find good trades.
Hopefully liquidity will return in Q1,Q2 of 08 or earlier now that the Fed pumps more cash into the market. In either case, the tools that we are building up will be used extensively when market returns to normal.
I just try to keep positive outlook of things :)
 
AWESOME paper. Detailed trading and risk management discussion across strategies.

Also like the fact that the paper discusses how the trades worked out AFTER these were recommended in earlier papers. One of the best papers I have seen. Thank you for sharing it.
 

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