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The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation Book
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Product Description
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.
- 0195152735
- 9780195152739
- Sylvain Raynes, Ann Rutledge
- 23 October 2003
- OUP USA
- Hardcover (Book)
- 464
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