RT Journal Article
SR Electronic
T1 Defaults and Losses Given Default of Structured Finance Securities
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 5
OP 24
DO 10.3905/jfi.2004.391024
VO 13
IS 4
A1 Jian Hu
A1 Richard Cantor
YR 2004
UL https://pm-research.com/content/13/4/5.abstract
AB There is little research on default and recovery rates of structured finance securities, despite the growth of the market and how important their performance is in bank regulation and risk management as well as in valuation of market transactions. In 2003, the total issuance of asset-backed securities (ABS) including collateralized debt obligations (CDOs) and private-label mortgage-backed securities (MBS) topped $1,106 billion, greatly exceeding corporate bond issuance at $813 billion. This examination of 13,419 ABS, RMBS, and CMBS rated by Moody's during 1993–2002 finds much lower overall default rates and losses, given default, than for corporate securities.