The Handbook of Structured Finance
by de Servigny, Arnaud; Jobst, NorbertEdition: 1st
Format: Hardcover
Pub. Date: 2007-02-12
Publisher(s): McGraw-Hill Education
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Summary
The Handbook of Structured Finance presents a comprehensive overview of quantitative techniques needed to measure and manage risks, determine optimum pricing, take advantage of leverage and market inefficiencies, and understand the full-range of products and regulations. Written by two structured finance experts and a team of international contributors, this reference will enable you to: Tailor risk and returns of products for specific investors such as buy-and-hold, arbitrage-driven investors, and hedge-funds, Utilize appropriate risk-mitigation strategies depending on the relevant investment strategis depending on the relevant investment horizon, Understand and price the various instruments under the risk-neutral measure, Employ risk measurement techniques such as ratings, and "the Greeks in structured deals. This on-target financial tool also provides you with a detailed account of Standard & Poor's exclusive techniques in structured finance, and reviews the newest research and methods for credit derivative modeling. Book jacket.
Author Biography
Arnaud de Servigny is head of Quantitative Analytics for Standard & Poor's.
Norbert Jobst is head of PortfolioResearch in Structured Finance for Standard & Poor’s.
Table of Contents
| Introduction | p. v |
| Overview of the Structured Credit Markets | p. 1 |
| Univariate Risk Assessment | p. 29 |
| Univariate Credit Risk Pricing | p. 91 |
| Modeling Credit Dependency | p. 137 |
| Rating Migration and Assset Correlation | p. 217 |
| CDO Pricing | p. 239 |
| An Introduction to the CDO Risk Management | p. 295 |
| A Practical Guide to CDO Trading Risk Management | p. 339 |
| Cash and Synthetic CDOs | p. 373 |
| The CDO Methodologies Developed | p. 397 |
| Recent and Not So Recent Developments in Synthetic CDOs | p. 465 |
| Residential Mortgage-Backed Securities | p. 543 |
| Covered Bonds | p. 593 |
| An Overview of Structured Investment Vehicles and Other Special Purpose Companies | p. 621 |
| Securitizations in Basel II | p. 675 |
| Secritization in the Context of Basel II | p. 697 |
| Biographies | p. 759 |
| Index | p. 765 |
| Table of Contents provided by Ingram. All Rights Reserved. |
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