Structured Finance and the Financial Turmoil of 2007 2008

2006b credit derivatives indexes 2007 a simple guide

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¡ (2006b). Credit derivatives indexes. ¡ (2007). “A simple guide to subprime mortgages, CDO, and securitization”, United States Fixed Income Strategy & Analysis, 13 April. COUSSERAN, O., and I. RAHMOUNI (2005). “The CDO market: Functioning and implications in terms of financial stability”, Banque de France, Financial Stability Review , No. 6, June, pp. 43-62. CRIADO, S., and A. van RIXTEL (2007). Reference guide for certain graphs related to financial innovation in the “Overview” section of the BIS Quarterly Review September 2007, Mimeograph, September. DEUTSCHE BANK (2007). “Understanding Asset-Backed Commercial Paper”, Securitization Reports, 17 August. DI CESARE, A. (2006). “Do market-based indicators anticipate rating agencies? Evidence for international banks”, Economic Notes, 35 (1), pp. 121-150. DUFFIE, D. (2007). Innovations in credit risk transfer: Implications for financial stability, mimeograph, 2 July. DÜLLMANN, K., and A. SOSINSKA (2007). “Credit default swap prices as risk indicators of listed German banks”, Financial Markets and Portfolio Management, 21 (3), pp. 269-292. ECB (2008a). “Securitization in the euro area”, Monthly Bulletin, February, pp. 81-94. ¡ (2008b). Financial Stability Review, June. ELUL, R. (2005). “The economics of asset securitization”, Federal Reserve Bank of Philadelphia, Business Review, Third Quarter, pp.16-25. FABOZZI, F. J., H. A. DAVIS and M. CHOUDHRY (2006). Introduction to Structured Finance, Hoboken, New Jersey: John Wiley & Sons, Inc. FABOZZI, F. J., and V. KOTHARI (2007). Securitization: The tool of financial transformation, Yale International Center for Finance Working Paper No. 07-07. FITCH RATINGS (2001). “Asset-Backed Commercial Paper explained”, Structured Finance Asset-Backed Criteria Report, 8 November. ¡ (2007). “Asset-Backed Commercial Paper & global banks exposure - 10 Key questions”, Special Report Banks, 7 September. GORTON, G., and N. S. SOULELES (2005). Special purpose vehicles and securitization, NBER Working Paper Series No. 11190, March. IMF (2006). “The influence of credit derivative and structured credit markets on financial stability”, Global Financial Stability Review, April, pp. 51-84. ¡ (2007). “Glossary”, Global Financial Stability Report, October, pp. 110-115. ¡ (2008a). Global Financial Stability Report: Containing Systemic Risk and Restoring Financial Soundness , April. ¡ (2008b). The Recent Financial Turmoil - Initial Assessment, Policy Lessons, and Implications for Fund Surveillance, 9 April. ISSING, O. (2005). “Opening remarks”, at the 4th Joint Central Bank Research Conference on Risk Measurement and Systemic Risk, Frankfurt am Main, 8-9 November. JOBST, A. (2003). “Collateralized Loan Obligations (CLOs) - A primer”, The Securitization Conduit, 6 (1-4), pp. 7-14. ¡ (2006). “What is structured finance?”, The Securitization Conduit, 8, pp. 1-9. BANCO DE ESPAÑA 4 4 DOCUMENTO OCASIONAL N.º 0808
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JP MORGAN (2007). “An ABCP cheat sheet”, Short-term Fixed Income Research Note, US Fixed Income Strategy, 16 August.
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