Sylvain Raynes, Ann Rutledge

The Analysis of Structured Securities (eBook, PDF)

Precise Risk Measurement and Capital Allocation

• Format: PDF

Produktbeschreibung

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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Produktdetails

• Verlag: Oxford University Press
• Erscheinungstermin: 25. September 2003
• Englisch
• ISBN-13: 9780198034834
• Artikelnr.: 38141392

Autorenporträt

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.

Inhaltsangabe

Preface and Dedication
Part I: The Contemporary Framework
1: Market Basics
2: To Rate A Tabula Rasa
3: The Actuarial Method
4: The Default-Based ("CDO") Method
5: The Eclectic Method
Endnotes to Part I
Part II: Analyzing Structured Securities
6: Towards A Science of Ratings
7: Dynamic Asset Analysis
8: Liabilites Analysis and Structuring
9: The Average Life of Assets and Liabilities
10: PACs and TACs
Endnotes to Part II
Part III: Applications of Numerical Methods to Structured Finance
11: The Art of Mathematical Modeling
12: Statistical Probability Density Functions
13: Eigenvalues and Eigenvectors
14: Markov Chains
15: Regression Analysis
16: Lower-Upper (LU) Decomposition
17: Covariance Matrix Simulation
18: The Newton-Raphson Nonlinear Optimization Method
19: Tchebychev Polynomials
Concluding Remarks and Endnotes to Part III
Part IV: Case Studies
20: Automobile Receivable Securitizations
21: CBOs of ABS
22: Aircraft Receivable Securitizations
Endnotes to Part IV
Part V: Trigger Theory
23: Advanced Structural Features: Triggers
Concluding Remarks
Appendices