The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation
Language: English
Published by Oxford University Press, 2003
- Hardcover
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- Title
- The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation
- Author
- Raynes, Sylvain,Rutledge, Ann
- Publisher
- Oxford University Press
- Publication year
- 2003
- Condition
- Good
- Binding
- hardcover
- Language
- English
- ISBN 10
- 0195152735
- ISBN 13
- 9780195152739
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.
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.
"Synopsis" may belong to another edition of 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.
"About the title" may belong to another edition of this title.
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