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The Journal of Structured Finance

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The Role of ABS CDOs in the Financial Crisis

Larry Cordell, Greg Feldberg and Danielle Sass
The Journal of Structured Finance Summer 2019, 25 (2) 10-27; DOI: https://doi.org/10.3905/jsf.2019.1.072
Larry Cordell
is a senior vice president in the Supervision Regulation and Credit (SRC) Department at the Federal Reserve Bank of Philadelphia, in Philadelphia, PA
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Greg Feldberg
is a research scholar at the Yale School of Management and Director of Research for the Yale Program on Financial Stability in New Haven, CT
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Danielle Sass
is a PhD candidate in the Statistics Department at the University of Illinois in Urbana-Champaign, IL
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Article Information

vol. 25 no. 2 10-27
DOI 
https://doi.org/10.3905/jsf.2019.1.072

Published By 
Pageant Media Ltd
Print ISSN 
1551-9783
Online ISSN 
2374-1325
History 
  • Published online August 1, 2019.

Article Versions

  • Latest version (March 28, 2019 - 04:54).
  • You are viewing the most recent version of this article.
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© 2019 Pageant Media Ltd

Author Information

  1. Larry Cordell
    1. is a senior vice president in the Supervision Regulation and Credit (SRC) Department at the Federal Reserve Bank of Philadelphia, in Philadelphia, PA. (larry.cordell{at}phil.frb.org)
  2. Greg Feldberg
    1. is a research scholar at the Yale School of Management and Director of Research for the Yale Program on Financial Stability in New Haven, CT. (greg.feldberg{at}yale.edu)
  3. Danielle Sass
    1. is a PhD candidate in the Statistics Department at the University of Illinois in Urbana-Champaign, IL. (dsass2{at}illinois.edu)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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The Journal of Structured Finance: 25 (2)
The Journal of Structured Finance
Vol. 25, Issue 2
Summer 2019
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The Role of ABS CDOs in the Financial Crisis
Larry Cordell, Greg Feldberg, Danielle Sass
The Journal of Structured Finance Jul 2019, 25 (2) 10-27; DOI: 10.3905/jsf.2019.1.072

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The Role of ABS CDOs in the Financial Crisis
Larry Cordell, Greg Feldberg, Danielle Sass
The Journal of Structured Finance Jul 2019, 25 (2) 10-27; DOI: 10.3905/jsf.2019.1.072
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  • Article
    • Abstract
    • NONPRIME RISK TRANSMITTED THROUGH PLMBS
    • HOW THE SECURITIZATION PROCESS CONCENTRATED AND MAGNIFIED PLMBS LOSSES IN ABS CDOs
    • HOW BIG WERE ABS CDO LOSSES AND WHO HELD THE ABS CDO RISK?
    • MODEL RISK: WHAT WENT SO WRONG WITH ABS CDO MODELS?
    • MORTGAGE RISK TRANSMITTED THROUGH THE FINANCIAL SYSTEM BY LEVERAGE
    • CONCLUSIONS AND LESSONS LEARNED
    • ADDITIONAL READING
    • ACKNOWLEDGMENTS
    • APPENDIX A
    • APPENDIX B
    • ENDNOTES
    • REFERENCES
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