TY - JOUR T1 - Default Rates on Structured Finance Securities JF - The Journal of Fixed Income SP - 44 LP - 53 DO - 10.3905/jfi.2004.439836 VL - 14 IS - 2 AU - Douglas J. Lucas AU - Laurie S. Goodman AU - Frank J. Fabozzi Y1 - 2004/09/30 UR - https://pm-research.com/content/14/2/44.abstract N2 - 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. ER -