This article analyzes the role in the credit crisis of the processes by which market
participants produce knowledge about financial instruments. Employing documentary …

We study the performance of collateralized loan obligations (CLOs) to understand the
market imperfections giving rise to these vehicles and their corresponding economic costs …

Both consumer and corporate credit ratings agencies played a major role in the US
subprime mortgage crisis. Equifax, Experian, and TransUnion deployed a formalized scoring …

This article, the second of two articles on the Gaussian copula family of models, discusses
the attitude of 'quants'(modellers) to these models, showing that contrary to some accounts …

The 2007-2009 financial crisis has shed light on the importance of contagion and systemic
risk, and revealed the lack of adequate indicators for measuring and monitoring them. This …

This paper presents a predominantly oral-history account of the development of the
Gaussian copula family of models, which are used in finance to estimate the probability …

This paper analyzes the loss allocation to first, second, and third loss positions in European
collateralized debt obligation transactions. The quality of the underlying asset pool plays a …

The Routledge Companion to Banking Regulation and Reform provides a prestigious
cutting edge international reference work offering students, researchers and policy makers a …

Irving Fisher believed in evidence-based decision making. This paper considers how three
aspects of Fisher's methodology could be useful now in the quest to deal with US financial …

This paper portrays the development of the market for securitization transactions and asks
why this market collapsed in the crisis without a substantial recovery later on. This is …