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The Handbook of Portfolio Mathematics: Formulas for Optimal Allocation & Leverage
The Handbook of Portfolio Mathematics: Formulas for Optimal Allocation & Leverage

by Ralph Vince, Wiley, (May 25, 2007), Hardcover, 448 pages

Fitch Quantitative Financial Research (QFR)
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The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
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In Rememberance: World Trade Center (WTC)

Fitch Ratings 1991–2007 Global Structured Finance Transition and Default Study

by Stephanie K. Mah of Fitch Ratings, and
Mariarosa Verde of Fitch Ratings

April 18, 2008

Summary: This research study analyzes in depth the rating transition and default experience of global structured finance securities rated by Fitch Ratings in 2007, as well as over the period from 1991–2007. Rating migrations are examined across the major structured finance sectors, including asset-backed securities (ABS), collateralized debt obligations (CDO), commercial mortgage-backed securities (CMBS), and residential mortgage-backed securities (RMBS). Geographical areas covered include Asia Pacific, Europe, Latin America, and the U.S.

Download paper (585K PDF) 36 pages

Related reading: "Fitch Ratings 1991–2005 U.S. Structured Finance Transition Study"

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