Credit Derivatives Research Papers

[John]

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.

 

[John]

Heterogenous Gaussian Copula Correlation Model

JPMorgan: Heterogenous Gaussian Copula Correlation Model paper

 

[John]

CS March ABX and mortgage ABS update

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

 

[John]

Synthetic CDO and CLO primers

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

 

[John]

CDO/Structured Credit Monthly

Lehman Bros CDO/Structured Monthly April 2008 issue

 

[John]

Morgan Stanley Structured Credit Handbook

Morgan Stanley Structured Credit Handbook, came across this today.

 

[Muting]

Hi, John:

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

Muting

 

[John]

Structured Credit Investor - Pick of the Month

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

 

[John]

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.

 

[Muting]

John:

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

 

[John]

A couple structured credit papers
DJiTraxx-Creditsatitsbest.pdf

Muting, page 49 of this page have a bit about the basis between itraxx and iboxx.

 

[John]

CMBS/CMBX, ABX

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

 

[John]

DB Securitization monthly July 08

DB Securitization monthly July 08 - Global securitization research

 

[John]

John:

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

Muting,
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.

 

[John]

Deutsche Bank Securitization monthly August 08 - Global securitization research

Deutsche Bank Securitization monthly August 08 - Global securitization research

 

[John]

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.

 

[John]

A primer on residential mortgage credit

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

 

[Andy Nguyen]

Hot from the press. The credit derivatives strategists at ML just released a report today (9/23/08) about the bailout plan and how Freddie, Fannie, Lehman, AIG and ILFC (subsidiary of AIG) names affected credit trading market.

 

[Bridgett]

EQS

Does any one have anything on EQS valuation?

Thanks.

 

[Andy Nguyen]

Was looking for something and came across this. If you deal with MarkIt data often, this could come in handy. Direct link and attachment just in case.
https://www.markit.com/news/Credit Indices Primer.pdf