We examine the role of asset-backed security collateralized debt obligations (ABS CDOs) as
a primary catalyst for the financial crisis. We show how ABS CDOs became the main …

The purpose of this article is to examine how the market designs the structure for
management fee subordination, incentive fee inclusion, and manager ownership of …

We propose a method for generating shocks to financial market variables for stress testing.
Our options-based approach can produce market shock scenarios that are severe and …