The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation

Raynes, Sylvain; Rutledge, Ann

ISBN 10: 0195152735 / ISBN 13: 9780195152739

Verlag: Oxford University Press, 2003

Bestandsnummer des Verkäufers 0195152735-4-28033247

Inhaltsangabe:

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.

Über die Autorin bzw. den Autor: 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.

Bibliografische Details

Titel: The Analysis of Structured Securities: ...
Verlag: Oxford University Press
Erscheinungsdatum: 2003
Einband: Hardcover
Zustand: Fair