Raynes, Sylvain
The Analysis of Structured Securities : Precise Risk Measurement and Capital Allocation
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
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
Avainsanat: BUSINESS & ECONOMICS / Finance BUS027000
- Tekijä(t)
- Raynes, Sylvain
- Rutledge, Ann
- Julkaisija
- Oxford University Press
- Julkaisuvuosi
- 2003
- Kieli
- en
- Painos
- 1
- Kategoria
- Talous
- Tiedostomuoto
- E-kirja
- eISBN (PDF)
- 9780198034834