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

Raynes, Sylvain; Rutledge, Ann

Couverture rigide

ISBN 10 : 0195152735 ISBN 13 : 9780195152739

Editeur : Oxford University Press Inc, 2003

Synopsis

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.

A propos du livre

À propos de l'auteur

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.

Détails de l'édition

• Éditeur: Oxford University Press Inc
• Date d'édition: 2003
• Langue: anglais
• ISBN 10: 0195152735
• ISBN 13: 9780195152739
• Reliure: Relié
• Nombre de pages: 464
• Coordonnées du fabricant: Oxford University Press; https://corp.oup.com/; ; WMF Platz 1; Geislingen/Steige; Baden-W?rttemberg; 73312; Allemagne