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

Raynes, Sylvain; Rutledge, Ann

Hardcover

ISBN 10: 0195152735 ISBN 13: 9780195152739

Publisher: Oxford University Press, 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.

About this title

About the Author

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.

Edition details

• Publisher: Oxford University Press
• Publication date: 2003
• Language: English
• ISBN 10: 0195152735
• ISBN 13: 9780195152739
• Binding: Hardcover
• Edition number: 1
• Number of pages: 464