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Citations for "An Empirical Analysis of the Pricing of Collateralized Debt Obligations"

by Francis A. Longstaff & Arvind Rajan

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  1. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
  2. Pagnoncelli, Bernardo K. & Cifuentes, Arturo, 2014. "Credit risk assessment of fixed income portfolios using explicit expressions," Finance Research Letters, Elsevier, vol. 11(3), pages 224-230.
  3. Thomas Flavin & Gerald P. Dwyer & Mardi Dungey, 2011. "Systematic and Liquidity Risk in Subprime-Mortgage Backed SecuritiesM," Economics, Finance and Accounting Department Working Paper Series n219-11, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  4. Zhu, Haibin & Tarashev, Nikola A., 2008. "The pricing of correlated default risk: evidence from the credit derivatives market," Discussion Paper Series 2: Banking and Financial Studies 2008,09, Deutsche Bundesbank, Research Centre.
  5. Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A., 2012. "Counterparty credit risk and the credit default swap market," Journal of Financial Economics, Elsevier, vol. 103(2), pages 280-293.
  6. David E Allen & R.R Boffey & R. J. Powell, 2011. "Survival of the fittest: contagion as a determinant of Canadian and Australian bank risk," Working papers 2011-03, Edith Cowan University, School of Business.
  7. repec:onb:oenbwp:y::i:156:b:1 is not listed on IDEAS
  8. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010. "Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle," NBER Working Papers 16358, National Bureau of Economic Research, Inc.
  9. Rodríguez-Moreno, María & Peña, Juan Ignacio, 2013. "Systemic risk measures: The simpler the better?," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1817-1831.
  10. Junye Li & Gabriele Zinna, 2014. "How much of bank credit risk is sovereign risk? Evidence from the eurozone," Temi di discussione (Economic working papers) 990, Bank of Italy, Economic Research and International Relations Area.
  11. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013. "On Reduced Form Intensity-based Model with Trigger Events," Papers 1301.0109, arXiv.org.
  12. Azizpour, Shahriar & Giesecke, Kay & Kim, Baeho, 2011. "Premia for correlated default risk," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1340-1357, August.
  13. Jorge A. Chan-Lau, 2006. "Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices," IMF Working Papers 06/148, International Monetary Fund.
  14. Mariko Fujii, 2010. "Securitized Products, Financial Regulation, and Systemic Risk," Finance Working Papers 23010, East Asian Bureau of Economic Research.
  15. Giesecke, Kay & Longstaff, Francis A. & Schaefer, Stephen & Strebulaev, Ilya, 2011. "Corporate bond default risk: A 150-year perspective," Journal of Financial Economics, Elsevier, vol. 102(2), pages 233-250.
  16. Francis A. Longstaff & Brett Myers, 2009. "Valuing Toxic Assets: An Analysis of CDO Equity," NBER Working Papers 14871, National Bureau of Economic Research, Inc.
  17. W. Scott Frame & Lawrence J. White, 2009. "Technological change, financial innovation, and diffusion in banking," Working Paper 2009-10, Federal Reserve Bank of Atlanta.
  18. Di Cesare, Antonio, 2009. "Securitization and Bank Stability," MPRA Paper 16831, University Library of Munich, Germany.
  19. Man Cho, 2009. "Managing Mortgage Credit Risk: What Went Wrong With the Subprime and Alt-A Markets?," International Real Estate Review, Asian Real Estate Society, vol. 12(3), pages 295-324.
  20. Daniel Rösch & Harald Scheule, 2011. "Securitization rating performance and agency incentives," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 287-314 Bank for International Settlements.
  21. Mardi Dungey & Jerry Dwyer & Tom Flavin, 2009. "Vintage and credit rating: what matters in the ABX data during the credit crunch?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  22. Jarrow, Robert A., 2011. "Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate," Finance Research Letters, Elsevier, vol. 8(1), pages 2-7, March.
  23. Das, Sanjiv R. & Hanouna, Paul & Sarin, Atulya, 2009. "Accounting-based versus market-based cross-sectional models of CDS spreads," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 719-730, April.
  24. Nadauld, Taylor D. & Sherlund, Shane M., 2009. "The Role of the Securitization Process in the Expansion of Subprime Credit," Working Paper Series 2009-9, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  25. Deng, Yongheng & Gabriel, Stuart A. & Sanders, Anthony B., 2011. "CDO market implosion and the pricing of subprime mortgage-backed securities," Journal of Housing Economics, Elsevier, vol. 20(2), pages 68-80, June.
  26. Bo, Lijun & Capponi, Agostino, 2015. "Counterparty risk for CDS: Default clustering effects," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 29-42.
  27. Koziol, Christian & Koziol, Philipp & Schön, Thomas, 2014. "Do correlated defaults matter for CDS premia? An empirical analysis," Discussion Papers 21/2014, Deutsche Bundesbank, Research Centre.
  28. Longstaff, Francis A., 2010. "The subprime credit crisis and contagion in financial markets," Journal of Financial Economics, Elsevier, vol. 97(3), pages 436-450, September.
  29. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2009. "Credit models and the crisis, or: how I learned to stop worrying and love the CDOs," Papers 0912.5427, arXiv.org, revised Feb 2010.
  30. Marco Taboga, 2013. "What is a prime bank? A Euribor � OIS spread perspective," Temi di discussione (Economic working papers) 895, Bank of Italy, Economic Research and International Relations Area.
  31. Ascheberg, Marius & Bick, Björn & Kraft, Holger, 2013. "Hedging structured credit products during the credit crisis: A horse race of 10 models," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1687-1705.
  32. Wojtowicz, Marcin, 2014. "CDOs and the financial crisis: Credit ratings and fair premia," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 1-13.
  33. Emanuel Bagna & Giuseppe Di Martino & Davide Rossi, 2014. "An anatomy of the Level 3 fair-value hierarchy discount," DEM Working Papers Series 065, University of Pavia, Department of Economics and Management.
  34. Rösch, Daniel & Scheule, Harald, 2012. "Capital incentives and adequacy for securitizations," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 733-748.
  35. Gary Gorton & Andrew Metrick, 2012. "Securitization," NBER Working Papers 18611, National Bureau of Economic Research, Inc.
  36. Antje Berndt & Peter Ritchken & Zhiqiang Sun, 2010. "On Correlation and Default Clustering in Credit Markets," Review of Financial Studies, Society for Financial Studies, vol. 23(7), pages 2680-2729, July.
  37. Fender, Ingo & Hayo, Bernd & Neuenkirch, Matthias, 2012. "Daily pricing of emerging market sovereign CDS before and during the global financial crisis," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2786-2794.
  38. Tsui, L. K., 2010. "Multi-Factor Bottom-Up Model for Pricing Credit Derivatives," MPRA Paper 23090, University Library of Munich, Germany.
  39. Rama Cont & Andreea Minca, 2013. "Recovering portfolio default intensities implied by CDO quotes," Post-Print hal-00413730, HAL.
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