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How has CDO Market Pricing Changed During the Turmoil? Evidence from CDS Index Tranches

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References

2001The Determinants of Credit Spread Changes2,253 cited
2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
2008Deciphering the Liquidity and Credit Crunch 2007-08344 cited
2008The Financial Turmoil of 2007-?: A Preliminary Assessment and Some Policy Considerations236 cited
2002Equity Volatility and Corporate Bond Yields123 cited
2006An Empirical Analysis of the Pricing of Collateralized Debt Obligations54 cited
2005CDO pricing with factor models: survey and comments47 cited
2008Credit fundamentals, ratings and value-at-risk: CDOs versus corporate exposures27 cited

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2010Implied correlations of iTraxx tranches during the financial crisis20 cited

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