The Analysis of Structured Securities
Precise Risk Measurement and Capital Allocation
Seiten
2003
Oxford University Press Inc (Verlag)
978-0-19-515273-9 (ISBN)
Oxford University Press Inc (Verlag)
978-0-19-515273-9 (ISBN)
Presents a defensible framework for systematic assessment of the credit quality of structured securities. This book begins with a critique of methods used to rate asset-backed securities, collateralized debt obligations and asset-backed commercial paper. Then, it proposes a single replacement paradigm capable of granular results.
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.
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.
Sylvain Raynes and Ann Rutledge are the Founding Principles of R & R Consulting, a structured finance consultancy dedicated to advising issuers, investors, intermediaries, non-profit corporations, and regulatory bodies in credit risk management and structured financial techniques using fine-grained analytical methods. In July 2001, their paper "Measures of Credit Losses: A Precise Method for Calculating Risk-adjusted Return on capital" was selected for presentation by the IAFE.
PREFACE & DEDICATION; PART I: THE CONTEMPORARY FRAMEWORK; PART II: ANALYZING STRUCTURED SECURITIES; PART III: APPLICATIONS OF NUMERICAL METHODS TO STRUCTURED FINANCE; PART IV: CASE STUDIES; PART V: TRIGGER THEORY
| Erscheint lt. Verlag | 23.10.2003 |
|---|---|
| Zusatzinfo | numerous figures and tables |
| Verlagsort | New York |
| Sprache | englisch |
| Maße | 165 x 239 mm |
| Gewicht | 794 g |
| Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
| ISBN-10 | 0-19-515273-5 / 0195152735 |
| ISBN-13 | 978-0-19-515273-9 / 9780195152739 |
| Zustand | Neuware |
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