The DOI matches its Crossref record; 28 of the 28 references it cites were found in a registry or an index.
An Empirical Analysis of the Pricing of Collateralized Debt Obligations
Abstract
We use the information in collateralized debt obligations (CDO) prices to study market expectations about how corporate defaults cluster. A three‐factor portfolio credit model explains virtually all of the time‐series and cross‐sectional variation in an extensive data set of CDX index tranche prices. Tranches are priced as if losses of 0.4%, 6%, and 35% of the portfolio occur with expected frequencies of 1.2, 41.5, and 763 years, respectively. On average, 65% of the CDX spread is due to firm‐specific default risk, 27% to clustered industry or sector default risk, and 8% to catastrophic or systemic default risk.
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Citations
Cites
Financial intermediation and delegated monitoring
Diamond, D. W. (1984) · The Review of Economic Studies · doi:10.2307/2297430 · Cited by 8,476
A Theory of the Term Structure of Interest Rates
Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985) · Econometrica · doi:10.2307/1911242 · Cited by 8,271
Manias, Panics, and Crashes: A History of Financial Crises
Romansco, A. U., & Kindleberger, C. P. (1979) · The American Historical Review · doi:10.2307/1855147 · Cited by 2,838
A second course in stochastic processes
Karlin, S., & Taylor, H. E. (1981) · Cited by 2,770
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Duffie, D., Pan, J., & Singleton, K. J. (2000) · Econometrica · doi:10.1111/1468-0262.00164 · Cited by 2,712
Modeling Term Structures of Defaultable Bonds
Duffie, D., & Singleton, K. J. (1999) · Review of Financial Studies · doi:10.1093/rfs/12.4.687 · Cited by 2,542
The Determinants of Credit Spread Changes
Collin-Dufresn, P., Goldstein, R. S., & Martin, J. S. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00402 · Cited by 2,246
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market
LONGSTAFF, F. A., MITHAL, S., & NEIS, E. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00797.x · Cited by 2,087
Self-citationA Multivariate Exponential Distribution
Marshall, A. W., & Olkin, I. (1967) · Journal of the American Statistical Association · doi:10.1080/01621459.1967.10482885 · Cited by 1,582
Explaining the Rate Spread on Corporate Bonds
Elton, E. J., Gruber, M. J., Agrawal, D., & Mann, C. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00324 · Cited by 1,575
Metadata
- Authors
- LONGSTAFF, F. A., & RAJAN, A.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2008-04
- Volume
- 63
- Issue
- 2
- Pages
- 529-563
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2148736622
- Cited by
- 299
- References
- 28
- FWCI
- 66.49
- Type
- journal article
- Language
- en
- Open access
- closed
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