(The following references were submitted in connection with the Working Group on Ratings in Structured Finance, which produced the report The role of ratings in structured finance: issues and implications )
Ammer, J M and N Clinton (2004): Good news is no news? The impact of credit rating changes on the pricing of asset-backed securities , International Finance Discussion Paper, no 809, Federal Reserve Board, July
Ashcraft, A (2004): How does tranching create economic value? , Federal Reserve Bank of New York, (PDF, 33 pages, 367 kb)
Cousseran, P O, K Hall, I von Koeppen-Mertes and Y Nakata (2004): Non-credit risks in structured finance , Banque de France/Reserve Bank of Australia/European Central Bank/Bank of Japan, (PDF, 13 pages, 106 kb)
Fender, I and J Kiff (2004): CDO rating methodology: some thoughts on model risk and its implications , BIS Working Papers no 163, Bank for International Settlements, November 2004
Mitchell, J (2004): Financial intermediation theory and structured finance markets , National Bank of Belgium, (PDF, 14 pages, 129 kb)
Perraudin, W and A Van Landschoot (2004): How risky are structured exposures compared with corporate bonds? , in W Perraudin (ed), Structured credit products: pricing, rating, risk management and Basel II, Risk Books.(PDF, 20 pages, 146 kb)
Violi, R (2004): Credit ratings transitions in structured finance , Banca d'Italia, (PDF, 41 pages, 318 kb)