The Analysis of Structured Securities : Precise Risk Measurement and Capital Allocation
Book Details
Format
Hardback or Cased Book
ISBN-10
0195152735
ISBN-13
9780195152739
Publisher
Oxford University Press Inc
Imprint
Oxford University Press Inc
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Oct 23rd, 2003
Print length
464 Pages
Weight
807 grams
Dimensions
23.90 x 16.50 x 2.60 cms
Product Classification:
Investment & securities
Ksh 24,250.00
Manufactured on Demand
0 in stock
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Presents a defensible framework for systematic assessment of the credit quality of structured securities. This book begins with a critique of methods used to rate asset-backed securities, collateralized debt obligations and asset-backed commercial paper. Then, it proposes a single replacement paradigm capable of granular results.
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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