Asset-backed securities (ABS)
- Integration of Structured Finance Exposures in the
Basel II Model: Analytical ResultsKilian PlankThe Journal of Fixed Income September 2012, 22 (2) 7-18; DOI: https://doi.org/10.3905/jfi.2012.22.2.007 - A Capability Study of Portfolio Insurance Strategies for ABS Funds and CDS Total Return Indices during the Subprime CrisisStefan Ehlers and Marc GürtlerThe Journal of Fixed Income March 2010, 19 (4) 6-21; DOI: https://doi.org/10.3905/JFI.2010.19.4.006
- Duration and Pricing of TIPSGady Jacoby and Ilona ShillerThe Journal of Fixed Income September 2008, 18 (2) 71-84; DOI: https://doi.org/10.3905/jfi.2008.712351
- Event of Default Provisions and the Valuation of ABS CDO TranchesLaurie s. Goodman, Daniel Newman, Douglas J. Lucas and Frank J. FabozziThe Journal of Fixed Income December 2007, 17 (3) 85-89; DOI: https://doi.org/10.3905/jfi.2007.700215
- Correlated Default Modeling with a Forest of Binomial TreesSanthosh Bandreddi, Sanjiv Ranjan Das and Rong FanThe Journal of Fixed Income December 2007, 17 (3) 38-56; DOI: https://doi.org/10.3905/jfi.2007.700212
- The Relationship Between Issuance Spreads and Credit Performance of Structured Finance SecuritiesJian Hu and Richard CantorThe Journal of Fixed Income June 2006, 16 (1) 5-20; DOI: https://doi.org/10.3905/jfi.2006.640273
- Diversification Potential of Structured SecuritiesKilian PlankThe Journal of Fixed Income March 2011, 20 (4) 24-32; DOI: https://doi.org/10.3905/jfi.2011.20.4.024
- Volatility Dependent Structured ProductsArtem Dyachenko, Walter Farkas and Marc Oliver RiegerThe Journal of Investing January 2021, 30 (2) 53-60; DOI: https://doi.org/10.3905/joi.2020.1.162
- Jumps and Cojumps in Subprime Home Equity DerivativesBruce MizrachThe Journal of Portfolio Management January 2012, 38 (2) 136-146; DOI: https://doi.org/10.3905/jpm.2012.38.2.136
- The Concept of Credit OAS in Valuation of MBSAlexander Levin and Andrew DavidsonThe Journal of Portfolio Management April 2008, 34 (3) 41-55; DOI: https://doi.org/10.3905/jpm.2008.706242
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