Tranching and rating

European Financial Management

Volumn 15, Issue 5, 2009, Pages 891-922

  Brennan, Michael J ^a   Hein, Julia ^b   Poon, Ser Huang ^a  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

^b UNIVERSITY OF KONSTANZ   (Germany)

Author keywords

Collateralised debt obligations; Credit ratings; Default probability; Expected loss rate; Systemic risk

Indexed keywords

EID: 72749085087     PISSN: 13547798     EISSN: 1468036X     Source Type: Journal    
DOI: 10.1111/j.1468-036X.2009.00515.x     Document Type: Article

References (28)

1. Ashcraft, A. B. and Schuermann, T. Understanding the securitization of subprime mortgage credit Federal Reserve Bank of New York Staff Reports, No. 318 (2008).
2. Black, F. and Scholes, M. The pricing of options and corporate liabilities Journal of Political Economy, Vol. 81, 1973, no. 3, pp. 637 654.
3. Bank of England, Financial Stability Report, October 2007, Issue No. 22 (London, 2007).
4. Boot, A. and Thakor, A. Security design Journal of Finance, Vol. 48, 1993, pp. 1349 1378.
5. Brennan, M. and Kraus, A. Efficient financing under asymmetric information Journal of Finance, Vol. 42, 1987, pp. 1225 1243.
6. Cantor, R. and Packer, F. Sovereign risk assessment and agency credit ratings European Financial Management, Vol. 2, 1996, pp. 247 256.
7. Coval, J. D., Jurek, J. W. and Stafford, E. Economic catastrophe bonds American Economic Review, Vol. 99, 2009, pp. 628 666.
8. Cuchra, F.-M. Explaining launch spreads on structured bonds Discussion Paper (University of Oxford, 2005).
9. Cuchra, F.-M. and Jenkinson, T. Why are securitisation issues tranched Working Paper (Department of Economics, Oxford University, 2005).
10. DeMarzo, P. and Duffie, D. A liquidity-based model of security design Econometrica, Vol. 67, 1999, pp. 65 99.
11. DeMarzo, P. The pooling and tranching of securities: a model of informed intermediation The Review of Financial Studies, Vol. 18, 2005, pp. 1 35.
12. Franke, G., Weber, Th. and Herrmann, M. How does the market handle information asymmetries in securitisations Discussion Paper (University of Konstanz, 2007).
13. Gaur, V., Seshadri, S. and Subrahmanyam, M. Intermediation and value creation in an incomplete market: implications for securitisation Working Paper (Leonard N. Stern School of Business, New York University, 2005).
14. Gorton, G. The subprime panic European Financial Management, Vol. 15, 2009, pp. 10 46.
15. Hein, J. Optimization of credit enhancements in collateralized loan obligations - the role of loss allocation and reserve account Discussion Paper (University of Konstanz, 2007).
16. Kou, J. and Varotto, S. Timeliness of spread implied ratings European Financial Management, Vol. 14, 2008, pp. 503 527.
17. Longstaff, F. A. and Rajan, A. An empirical analysis of the pricing of collateralized debt obligations Journal of Finance, Vol. 63, 2008, pp. 529 563.
18. Merton, R. C. On the pricing of corporate debt: the risk structure of interest rates Journal of Finance, Vol. 29, 1974, pp. 449 470.
19. Modigliani, F. and Miller, M. H. The cost of capital, corporation finance and the theory of investment American Economic Review, Vol. 48, 1958, no. 3, pp. 261 297.
20. Moody's Investors Service, Special Comment: Default & Loss Rates of Structured Finance Securities: 1993-2004 (New York, 2005).
21. Plantin, G. Tranching Working Paper (http://ssrn.com/abstract=650839 2004).
22. Riddiough, T. Optimal design and governance of asset-backed securities Journal of Financial Intermediation, Vol. 6, 1997, pp. 121 152.
23. Ross, S. Institutional markets, financial marketing, and financial innovation Journal of Finance, Vol. 44, 1989, no. 3, pp. 541 556.
24. Securities Industry and Financial Markets Association, Research, http://www.sifma.org/research/global-cdo.html (2008).
25. Standard & Poor's, CDO Evaluator Version 3.0: Technical Document (London, 2005).
26. Standard & Poor's, Structured Finance: Commentary (2007).
27. Subrahmanyam, A. A theory of trading in stock index futures Review of Financial Studies, Vol. 4, 1991, pp. 17 51.
28. Welch, I. Views of financial economists on the equity premium and on professional controversies Journal of Business, Vol. 73, 2000, pp. 501 537.