Journals Higher Education

$115.00

Hardcover

25 September 2003

464 Pages | 90 line illus

6-1/8 x 9-1/4 inches

ISBN: 9780195152739


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Bookseller Code (06)

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The Analysis of Structured Securities

Precise Risk Measurement and Capital Allocation

Sylvain Raynes and Ann Rutledge

IThe 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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