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

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

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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.Assume that, for some vehicle type found in the pool, a credit research analyst has assembled the depreciation data shown in ... These parameters are not independent since, by definition, we need to enforce the constraint ^(0) = W0 as a anbsp;...


Title:The Analysis of Structured Securities : Precise Risk Measurement and Capital Allocation
Author: Sylvain Raynes, Ann Rutledge
Publisher:Oxford University Press, USA - 2003-08-28
ISBN-13:

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