The analysis of structured securities
precise risk measurement and capital allocation
- ISBN: 9780195152739
- Editorial: Oxford University Press
- Fecha de la edición: 2003
- Lugar de la edición: New York. Estados Unidos de Norteamérica
- Encuadernación: Cartoné
- Medidas: 24 cm
- Nº Pág.: 449
- Idiomas: Inglés
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.
