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

Autor Sylvain Raynes, Ann Rutledge
en Limba Engleză Hardback – 22 oct 2003
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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Specificații

ISBN-13: 9780195152739
ISBN-10: 0195152735
Pagini: 464
Ilustrații: numerous figures and tables
Dimensiuni: 165 x 239 x 26 mm
Greutate: 0.79 kg
Editura: Oxford University Press
Colecția OUP USA
Locul publicării:New York, United States

Recenzii

"The Analysis of Structured Securitries is a much needed text book covering an important and growing segment of capital markets. The authors combine rich institutional knowledge with illustrative examples that make the topic especially accessible. For the more technically inclined there are chapters that address the modeling issues in greater detail. I recommend this text to serious students in fixed income markets." --Suresh M. Sundaresan, Chase Manhattan Bank Professor of Finance and Economics, Columbia University New York
"This is an extremely informative book. Each page is rich with institutional detail and analytical insights. The reader who masters this book will be well prepared to address the important issues in today's structured securities markets." --Perry D. Quick, Vice President, Charles River Associates
"Much has been written about structured finance and rating, but nothing compares to this truly unique book by Raynes and Rutledge. To my surprise, I could not put it down, as each chapter beckoned of more to come. The authors lay out solutions to the practical problem of rating debt securities in the structured finance context. This book is a "must read" for anyone involved in structured finance. In light of the recent market failure, securities rating is indeed of interest to many investors. In fact, this book offers fascinating reading to anyone interested in the ways we seek to predict the future." --Tamar Frankel, Professor of Law, Boston University Law School

Notă biografică

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.