| Reference: | [1] Adelino, M. (2009), “Do investors rely only on ratings? The case of mortgage-backed securities”, Working paper.
[2] Altman, E. I., B. Brady, A. Resti, and A. Sironi (2005), “The link between default and recovery rates: Theory, empirical evidence, and implications”, Journal of Business, 78(6), 2203-2227.
[3] Anderson, L., J. Sidenius, and S. Basu (2003), “All your hedges in one basket”, Risk, 16(11), 67-72.
[4] An, X., Y. Deng and A. Sanders (2007), “Credit risk and subordination levels in commercial mortgage-backed securities (CMBS)”, working paper available on SSRN.
[5] Ashcraft, A. B., P. Goldsmith-Pinkham, and J. Vickery (2010), “MBS ratings and the mortgage credit boom”, Federal Reserve Bank of New York Staff Report, No. 499.
[6] Azzalini, A. and A. Capitanio (2003), “Distributions generated by perturbation of symmetry with emphasis on a multivariate skew T distribution”, Joural of the Royal Statistical Society: Series B, 65, 367-389.
[7] Baheti, P., R. Mashal, M. Naldi, and L. Schloegl (2005), “Squaring factor copula models”, Risk, 18(6), 73-76.
[8] Barndorff-Nielsen, O. E. (1997), “Normal inverse gaussian distributions and stochastic volatility modelling”, Scandinavian Journal of Statistics, 24(1), 1-13.
[9] Basel Committee on Banking Supervision (2004a), “Bank failures in mature economies”, Basel Committee on Banking Supervision Working Paper Series, No. 13, April.
[10] Basel Committee on Banking Supervision (2004b), “International convergence of capital measurement and capital standards: A revised framework”, Bank for International Settlements, June.
[11] Black, F., and J. C. Cox (1976), “Valuing corporate securities: Some effects of bond indenture provisions”, The Journal of Finance, 31(2), 351-367.
[12] Black, F., and M. Scholes (1973), “The pricing of options and corporate liabilities”, Journal of Political Economy, 81(3), 637-654.
[13] Coval, J. D., J. W. Jurek, and E. Stafford (2009), “Economic catastrophe bonds”, American Economic Review, 99(3), 628-666.
[14] Duffie, D., and D. Lando (2001), “Term structures of credit spreads with incomplete accounting information”, Econometrica, 69(3), 633-664.
[15] Duffie, D., and K. J. Singleton (1999), “Modeling term structures of defaultable bonds”, The Review of Financial Studies, 12(4), 687-720.
[16] Fermanian, J. D. (2011), “A Top-Down approach for asset-backed securities: A consistent way of managing prepayment, default and interest rate risks”, The Journal of Real Estate Finance and Economics, 1-36.
[17] Cespedes G., J. Herrero, A. Kreinin, and D. Rosen (2006), “A simple multifactor "Factor Adjustment" for the treatment of credit capital diversification”, Journal of Credit Risk, 2(3), 57-85.
[18] Geske, R. (1977), “The valuation of corporate liabilities as compound options”, The Journal of Financial and Quantitative Analysis, 12(4), 541-552.
[19] Gordy, M. (2003), “A risk-factor model foundation for ratings-based bank capital rules”, Journal of Financial Intermediation, 12, 199-232.
[20] Hull, J., and A. White (1995), “The impact of default risk on the prices of options and other derivative securities”, Journal of Banking and Finance, 19(2), 299-322.
[21] Hull, J., and A. White (2001), “Valuing credit default swaps II: Modeling default correlations”, Journal of Derivatives, 8(3), 12-21.
[22] Hull, J., and A. White (2004), “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation”, Journal of Derivatives, 12(2), 8-23.
[23] Hull, J., and A. White (2010), “The Risk of Tranches created from mortgages”, Financial Analysts Journal, 66(5), 54-67.
[24] Jarrow, R. A., and S. M. Turnbull (1995), “Pricing derivatives on financial securities subject to credit risk”, Journal of Finance, 50(1), 53-85.
[25] Laurent, J., and J. Gregory (2005), “Basket default swaps, CDOs and factor copulas”, The Journal of Risk, 7(4), 103-122.
[26] Li, D. X. (2000), “On Default Correlation: A copula function approach”, Journal of Fixed Income, 9(4), 43-54.
[27] Li, D. X., and M. H. Liang (2005), “CDO squared pricing using Gaussian mixture model with transformation of loss distribution”, working paper available on SSRN.
[28] Longstaff, F. A., and E. S. Schwartz (1995), “A simple approach to valuing risky fixed and floating rate debt”, The Journal of Finance, 50(3), 789-819.
[29] Lütkebohmert, E. (2009), “Concentration risk in credit portfolios”, London: Springer.
[30] Mason, J. R., and J. Rosner (2007), “Where did the risk go? How misapplied bond ratings cause mortgage backed securities and collateralized debt obligation market disruptions”, working paper available on SSRN.
[31] Merton, R. C. (1974), “On the pricing of corporate debt: The risk structure of interest rates”, The Journal of Finance, 29(2), 449-470.
[32] Pykhtin, M. (2004), “Multi-factor adjustment”, Risk, 17(3), 85-90.
[33] Vasicek, O. (1977), “An equilibrium characterization of the term structure”, Journal of Financial Economics, 5(2), 177-188.
[34] Vasicek, O. (1987), “Probability of loss on loan portfolio”, working paper available on KMV Corp.
[35] Wendin, J. and A. J. McNeil (2006), “Dependent credit migrations”, Journal of Credit Risk, 2, 87-114.
[36] Zhou, C. (2001a), “An analysis of default correlations and multiple defaults”, Review of Financial Studies, 14(2), 555-576.
[37] Zhou, C. (2001b), “The term structure of credit spreads with jump risk”, Journal of Banking and Finance, 25(11), 2015-2040.
[1] Adelino, M. (2009), “Do investors rely only on ratings? The case of mortgage-backed securities”, Working paper.
[2] Altman, E. I., B. Brady, A. Resti, and A. Sironi (2005), “The link between default and recovery rates: Theory, empirical evidence, and implications”, Journal of Business, 78(6), 2203-2227.
[3] Anderson, L., J. Sidenius, and S. Basu (2003), “All your hedges in one basket”, Risk, 16(11), 67-72.
[4] An, X., Y. Deng and A. Sanders (2007), “Credit risk and subordination levels in commercial mortgage-backed securities (CMBS)”, working paper available on SSRN.
[5] Ashcraft, A. B., P. Goldsmith-Pinkham, and J. Vickery (2010), “MBS ratings and the mortgage credit boom”, Federal Reserve Bank of New York Staff Report, No. 499.
[6] Azzalini, A. and A. Capitanio (2003), “Distributions generated by perturbation of symmetry with emphasis on a multivariate skew T distribution”, Joural of the Royal Statistical Society: Series B, 65, 367-389.
[7] Baheti, P., R. Mashal, M. Naldi, and L. Schloegl (2005), “Squaring factor copula models”, Risk, 18(6), 73-76.
[8] Barndorff-Nielsen, O. E. (1997), “Normal inverse gaussian distributions and stochastic volatility modelling”, Scandinavian Journal of Statistics, 24(1), 1-13.
[9] Basel Committee on Banking Supervision (2004a), “Bank failures in mature economies”, Basel Committee on Banking Supervision Working Paper Series, No. 13, April.
[10] Basel Committee on Banking Supervision (2004b), “International convergence of capital measurement and capital standards: A revised framework”, Bank for International Settlements, June.
[11] Black, F., and J. C. Cox (1976), “Valuing corporate securities: Some effects of bond indenture provisions”, The Journal of Finance, 31(2), 351-367.
[12] Black, F., and M. Scholes (1973), “The pricing of options and corporate liabilities”, Journal of Political Economy, 81(3), 637-654.
[13] Coval, J. D., J. W. Jurek, and E. Stafford (2009), “Economic catastrophe bonds”, American Economic Review, 99(3), 628-666.
[14] Duffie, D., and D. Lando (2001), “Term structures of credit spreads with incomplete accounting information”, Econometrica, 69(3), 633-664.
[15] Duffie, D., and K. J. Singleton (1999), “Modeling term structures of defaultable bonds”, The Review of Financial Studies, 12(4), 687-720.
[16] Fermanian, J. D. (2011), “A Top-Down approach for asset-backed securities: A consistent way of managing prepayment, default and interest rate risks”, The Journal of Real Estate Finance and Economics, 1-36.
[17] Cespedes G., J. Herrero, A. Kreinin, and D. Rosen (2006), “A simple multifactor "Factor Adjustment" for the treatment of credit capital diversification”, Journal of Credit Risk, 2(3), 57-85.
[18] Geske, R. (1977), “The valuation of corporate liabilities as compound options”, The Journal of Financial and Quantitative Analysis, 12(4), 541-552.
[19] Gordy, M. (2003), “A risk-factor model foundation for ratings-based bank capital rules”, Journal of Financial Intermediation, 12, 199-232.
[20] Hull, J., and A. White (1995), “The impact of default risk on the prices of options and other derivative securities”, Journal of Banking and Finance, 19(2), 299-322.
[21] Hull, J., and A. White (2001), “Valuing credit default swaps II: Modeling default correlations”, Journal of Derivatives, 8(3), 12-21.
[22] Hull, J., and A. White (2004), “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation”, Journal of Derivatives, 12(2), 8-23.
[23] Hull, J., and A. White (2010), “The Risk of Tranches created from mortgages”, Financial Analysts Journal, 66(5), 54-67.
[24] Jarrow, R. A., and S. M. Turnbull (1995), “Pricing derivatives on financial securities subject to credit risk”, Journal of Finance, 50(1), 53-85.
[25] Laurent, J., and J. Gregory (2005), “Basket default swaps, CDOs and factor copulas”, The Journal of Risk, 7(4), 103-122.
[26] Li, D. X. (2000), “On Default Correlation: A copula function approach”, Journal of Fixed Income, 9(4), 43-54.
[27] Li, D. X., and M. H. Liang (2005), “CDO squared pricing using Gaussian mixture model with transformation of loss distribution”, working paper available on SSRN.
[28] Longstaff, F. A., and E. S. Schwartz (1995), “A simple approach to valuing risky fixed and floating rate debt”, The Journal of Finance, 50(3), 789-819.
[29] Lütkebohmert, E. (2009), “Concentration risk in credit portfolios”, London: Springer.
[30] Mason, J. R., and J. Rosner (2007), “Where did the risk go? How misapplied bond ratings cause mortgage backed securities and collateralized debt obligation market disruptions”, working paper available on SSRN.
[31] Merton, R. C. (1974), “On the pricing of corporate debt: The risk structure of interest rates”, The Journal of Finance, 29(2), 449-470.
[32] Pykhtin, M. (2004), “Multi-factor adjustment”, Risk, 17(3), 85-90.
[33] Vasicek, O. (1977), “An equilibrium characterization of the term structure”, Journal of Financial Economics, 5(2), 177-188.
[34] Vasicek, O. (1987), “Probability of loss on loan portfolio”, working paper available on KMV Corp.
[35] Wendin, J. and A. J. McNeil (2006), “Dependent credit migrations”, Journal of Credit Risk, 2, 87-114.
[36] Zhou, C. (2001a), “An analysis of default correlations and multiple defaults”, Review of Financial Studies, 14(2), 555-576.
[37] Zhou, C. (2001b), “The term structure of credit spreads with jump risk”, Journal of Banking and Finance, 25(11), 2015-2040. |
