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Raynes, Sylvain

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

Raynes, Sylvain - The Analysis of Structured Securities : Precise Risk Measurement and Capital Allocation, ebook

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ISBN: 9780198034834
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Preface & Dedication
Part I: The Contemporary Framework
1. Market Basics
2. To Rate A Tabula Rasa
3. The Actuarial Method
4. The Default-Based ("CDO") Method
5. The Eclectic Method
Endnotes to Part I
Part II: Analyzing Structured Securities
6. Towards A Science of Ratings
7. Dynamic Asset Analysis
8. Liabilites Analysis and Structuring
9. The Average Life of Assets and Liabilities
10. PACs and TACs
Endnotes to Part II
Part III: Applications of Numerical Methods to Structured Finance
11. The Art of Mathematical Modeling
12. Statistical Probability Density Functions
13. Eigenvalues and Eigenvectors
14. Markov Chains
15. Regression Analysis
16. Lower-Upper (LU) Decomposition
17. Covariance Matrix Simulation
18. The Newton-Raphson Nonlinear Optimization Method
19. Tchebychev Polynomials
Concluding Remarks & Endnotes to Part III
Part IV: Case Studies
20. Automobile Receivable Securitizations
21. CBOs of ABS
22. Aircraft Receivable Securitizations
Endnotes to Part IV
Part V: Trigger Theory
23. Advanced Structural Features: Triggers
Concluding Remarks
Appendices

Keywords: BUSINESS & ECONOMICS / Finance BUS027000

Author(s)
 
Publisher
Oxford University Press
Publication year
2003
Language
en
Edition
1
Category
Economy
Format
Ebook
eISBN (PDF)
9780198034834

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