The Analysis of Structured Securities presents the first intellectually defensible framework for systematic assessment of the credit quality of structured securities. It begins with a detailed description and critique of methods used to rate asset-backed securities, collateralized debt obligations and asset-backed commercial paper. The book then proposes a single replacement paradigm capable of granular, dynamic results. It offers extensive guidance on using numerical methods in cash flow modeling, as well as a groundbreaking section on trigger optimization. Casework on applying the method to automobile ABS, CDOs-of-ABS and aircraft-lease securitizations is also presented. This book is essential reading for practitioners who seek higher precision, efficiency and control in managing their structured exposures.
"1101401346"
The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation
The Analysis of Structured Securities presents the first intellectually defensible framework for systematic assessment of the credit quality of structured securities. It begins with a detailed description and critique of methods used to rate asset-backed securities, collateralized debt obligations and asset-backed commercial paper. The book then proposes a single replacement paradigm capable of granular, dynamic results. It offers extensive guidance on using numerical methods in cash flow modeling, as well as a groundbreaking section on trigger optimization. Casework on applying the method to automobile ABS, CDOs-of-ABS and aircraft-lease securitizations is also presented. This book is essential reading for practitioners who seek higher precision, efficiency and control in managing their structured exposures.
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The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation
The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation
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Product Details
ISBN-13: | 9780199882366 |
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Publisher: | Oxford University Press |
Publication date: | 09/25/2003 |
Sold by: | Barnes & Noble |
Format: | eBook |
File size: | 16 MB |
Note: | This product may take a few minutes to download. |
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