PT - JOURNAL ARTICLE AU - Douglas J. Lucas AU - Laurie S. Goodman AU - Frank J. Fabozzi TI - Default Rates on Structured Finance Securities AID - 10.3905/jfi.2004.439836 DP - 2004 Sep 30 TA - The Journal of Fixed Income PG - 44--53 VI - 14 IP - 2 4099 - https://pm-research.com/content/14/2/44.short 4100 - https://pm-research.com/content/14/2/44.full AB - In this article, the authors attempt to determine historical default rates for structured finance assets: asset-backed securities, commercial mortgage-backed securities, and residential mortgage-backed securities. They focus on triple B rated residential B&C tranches that make up a great percentage of the collateral in many structured finance-backed collateralized debt obligations. They examine six recent rating agency studies and delve into their methodologies before arriving at their own estimates of historic structured finance defaults.