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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

Hardcover

Investing & FinancePersonal Finance

ISBN10: 0195152735
ISBN13: 9780195152739
Publisher: Oxford University Press
Published: Sep 25 2003
Pages: 464
Weight: 1.75
Height: 1.02 Width: 6.48 Depth: 9.42
Language: English
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.

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