Nov 01, 2011 in Credit Derivatives
This document by JPMorgan is
“a comprehensive introduction to CDOs. It addresses:
the structural components of CDOs;Â typical CDOs; why CDOs exist; the cash flow and market value credit structures; synthetic CDOs; the asset manager and other parties to a CDO; legal, accounting, and tax considerations; (and) CDO terminology.”
Even though it was written in 2001, it is still very useful and informative.
Oct 22, 2009 in Credit Derivatives, Financial Engineering
See the library here: http://www.classiccmp.org/transputer/finengineer/
Nov 07, 2008 in Credit Derivatives, Derivatives, Markets
The NY Times has a nice collection of articles about the credit crisis entitled Credit Crisis — The Essentials. On this page, you will be able to follow the developments from the origins of the crisis through the bank failures and seizures to the latest updates. There is a Credit Crisis Navigator, which is a list of documents and reports from various sources that the editors have compiled for more in-depth background.
 One book that seems very timely right now is FIASCO: The Inside Story of a Wall Street Trader by Frank Partnoy. I am reading it right now, and the author details how derivative transactions were structured to obtain AAA ratings from the ratings agencies that they didn’t otherwise deserve. It really foreshadows the CDO meltdown.Â
Aug 03, 2008 in Credit Derivatives
More details are revealed on S&P’s ratings of structured deals, particularly CDOs in a story posted today in the online edition of the Wall Street Journal. Quote: In one email, an S&P analytical staffer emailed another that a mortgage or structured-finance deal was “ridiculous” and that “we should not be rating it.” The other S&P staffer replied that “we rate every deal,” adding that “it could be structured by cows and we would rate it.”
Jun 05, 2008 in Credit Derivatives
Very funny article on proposed reform of the ratings agencies Moodys, Fitch and S&P. No more issuer-rater karaoke, special parking privileges or hugs will be permitted.
May 26, 2008 in Columbia, Credit Derivatives
Good grief! Here I am on Memorial Day stuck with two massive assignments in credit derivatives which require simulation in matlab. A friend emailed me about something and I was going through some old notes from a class I took at the University of Chicago (Financial Math program) taught by the illustrious Jack Cowan
As I was going through the notes, I saw some old matlab homework I’d done. I didn’t even remember this, it was some kind of neural network code. And at the top of the homework I had written, “Memorial Day 1999”. Good grief! Here it is 9 years later and I am still doing matlab on Memorial Day. Guess it’s my Memorial Day tradition. Hey, who needs parades and picnics when you can be coding up some matlab simulations.
May 25, 2008 in Columbia, Credit Derivatives
“I’ve never seen a martingale, I never hope to see one. But I can tell you anyhow, I’d rather see than be one.”
Once I finish this massive set of homework for credit derivatives (two days into it and I am only on about item #5 of 15 for one homework, have not even started the second assignment!) I hope I never have to see a martingale again in my life.  (That’s affine martingale you’ve got there, missy.)Â
May 25, 2008 in Credit Derivatives, Free Online Books, Mathematics
Springer lecture notes in Mathematics, Stochastic Methods in Finance, 2003. Has chapter on credit risk modeling.
May 24, 2008 in Credit Derivatives
These are practical resources from Lehman Brothers, primarily by Dominic O’Kane, all of which are worthwhile. He does not seem to be at Lehman brothers any longer which may explain why I can’t locate one of the papers referenced in the first paper below (O’Kane and Turnbull, Valuation and Risk-Management of Credit Default Swaps, to be published Spring 2003.)Â A few non-Lehman resources are provided as well.
Valuation of Credit Default Swaps, O’Kane and Turnbull, 2003. 17 pages total, introduction and numerical examples including MTM and PV01 calculations.
Longer, earlier paper by one of the authors above, Credit Derivatives Explained 2001, O’Kane
Guide to Exotic Credit Derivatives
Credit Spreads Explained, O’Kane and Sen, March 2004
Recent Developments in the Credit Derivatives Market, speech by Dominic O’Kane, London, November 2007
Another useful paper by Hull and White, Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation, Journal of Derivatives, 12,2 Winter 2004.
Lehman Brothers paper on Pricing Multi-Name Default Swaps with Counterparty Risk, Marshal and Naldi, November 2003. (is it possible that O’Kane had left LB by then?)
May 23, 2008 in Credit Derivatives
Very interesting article by Roger Lowenstein, author of the analysis of the Long Term Capital Management debacle “When Genius Failed”.Â
