This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.
V. V. Acharya ; S. T. Bharath ; and A. Srinivasan . “Does Industry-Wide Distress Affect Defaulted Firms? Evidence from Creditor Recoveries.” Journal of Financial Economics, 85 (2007), 787–821.
H. Albrecher ; S. Ladoucette ; and W. Schoutens . “A Generic One-Factor Lévy Model for Pricing Synthetic CDOs.” In Advances in Mathematical Finance, M. C. Fu , R. A. Jarrow , J.-Y. J. Yen , and R. Elliott , eds. Boston, MA: Birkhaeuser (2007), 259–277.
F. Black , and M. Scholes . “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy, 81 (1973), 637–654.
A. W. A. Boot , and A. V. Thakor . “Security Design.” Journal of Finance, 48 (1993), 1349–1378.
X. Burtschell ; J. Gregory ; and J.-P. Laurent . “A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework.” Journal of Derivatives, 16 (2009), 9–37.
A. S. Cebenoyan , and P. E. Strahan . “Risk Management, Capital Structure and Lending at Banks.” Journal of Banking and Finance, 28 (2004), 19–43.
P. DeMarzo “The Pooling and Tranching of Securities: A Model of Informed Intermediation.” Review of Financial Studies, 18 (2005), 1–35.
P. DeMarzo , and D. Duffie . “A Liquidity-Based Model of Security Design.” Econometrica, 67 (1999), 65–99.
C. Downing ; D. Jaffee ; and N. Wallace . “Is the Market for Mortgage-Backed Securities a Market for Lemons?” Review of Financial Studies, 22 (2009), 2457–2494.
D. Duffie ; A. Eckner ; G. Horel ; and L. Saita . “Frailty Correlated Default.” Journal of Finance, 64 (2009), 2089–2123.
D. Duffie , and N. Gârleanu . “Risk and the Valuation of Collateralized Debt Obligations.” Financial Analysts Journal, 57 (2001), 41–59.
K. M. Emery , and R. Cantor . “Relative Default Rates on Corporate Loans and Bonds.” Journal of Banking and Finance, 29 (2005), 1575–1584.
X. Gabaix ; A. Krishnamurthy ; and O. Vigneron . “Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market.” Journal of Finance, 62 (2007), 557–595.
D. Gale , and M. Hellwig . “Incentive-Compatible Debt Contracts: The One-Period Problem.” Review of Economic Studies, 52 (1985), 647–663.
C. Gollier , and H. Schlesinger . “Arrow’s Theorem on the Optimality of Deductibles: A Stochastic Dominance Approach.” Economic Theory, 7 (1996), 359–363.
M. B Gordy . “A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules.” Journal of Financial Intermediation, 12 (2003), 199–232.
G. B. Gorton , and G. G. Pennacchi . “Banking and Loan Sales: Marketing Nonmarketable Assets.” Journal of Monetary Economics, 35 (1995), 389–411.
E. J. Higgins , and J. R. Mason . “What Is the Value of Recourse to Asset-Backed Securities? A Clinical Study of Credit Card Banks.” Journal of Banking and Finance, 28 (2004), 875–899.
International Monetary Fund. (April 2011).
F. A. Longstaff , and A. Rajan . “An Empirical Analysis of the Pricing of Collateralized Debt Obligations.” Journal of Finance, 63 (2008), 529–563.
E. Loutskina , and P. E. Strahan . “Securitization and the Declining Impact of Bank Finance on Loan Supply: Evidence from Mortgage Originations.” Journal of Finance, 64 (2009), 861–889.
Moody’s Investor Service. (2000).
W. K. Newey , and K. D. West . “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica, 55 (1987), 703–708.
D. Newman ; F. J. Fabozzi ; D. J. Lucas ; and L. S. Goodman . “Empirical Evidence on CDO Performance.” Journal of Fixed Income (2008), 32–40.
T. Piskorski ; A. Seru ; and V. Vig . “Securitization and Distressed Loan Renegotiation: Evidence from the Subprime Mortgage Crisis.” Journal of Financial Economics, 97 (2010), 369–397.
A. Purnanandam “Originate-to-Distribute Model and the Subprime Mortgage Crisis.” Review of Financial Studies, 24 (2011), 1881–1915.
T. J Riddiough . “Optimal Design and Governance of Asset-Backed Securities.” Journal of Financial Intermediation, 6 (1997), 121–152.
N. Tarashev “Measuring Portfolio Credit Risk Correctly: Why Parameter Uncertainty Matters.” Journal of Banking and Finance, 34 (2010), 2065–2076.