How Risky are Structured Exposures Compared to Corporate Bonds? 

Full paper available here.

Evidence from Bond and ABS Returns
William Perraudin and Astrid Van Landschoot

This paper compares the risk of structured exposures with that of defaultable corporate bonds with the same agency ratings. Risk is defined in a variety of ways including return volatility, Value at Risk, Expected Shortfall and betas with credit portfolios.