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

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.
 

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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.
 

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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.
 

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gts said:
Wonderful info. Can you point me to HELOC research (preferably between 2006 and 2007)? Best
Click to expand...

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.
 

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