This paper tracks a structured financial innovation, the commercial mortgage-backed security which is not as novel as current discussion around the sub-prime crisis let assume. However, CMBS as credit-derivatives feature various factors that influence the risks arising from a commercial-mortgage...

Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such as the iTraxx Europe have been used in the credit derivatives market for price communication. During the financial crisis, implied correlations have been quite volatile indicating the growing fraction of...

After the onset of the subprime crisis and the European debt crisis, credit default swaps (CDS) have seen a strong increase in usage. Particularly sovereign CDS protection has been sought after, paralleling the rise in sovereign debt levels, slumps in GDP growth and political tensions in...

The paper models and analyses the dynamics of credit spread curves based on ratings over the period from 2004 to 2021. Using more than 1.5 million data points of individual bonds, instead of using index data, monthly asset swap spread (ASW) curves are constructed for all rating levels. The paper...

Loss Given Default (LGD) is a major element for pricing credits and bonds. As there has been a substantial amount of research during the last years, this paper aims to give an overview. Initially, defaults and recovery definitions for credits and the differences to bonds are discussed. A survey...