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

ISBN-13: 9780195152739 / Angielski / Twarda / 2003 / 464 str.

Sylvain Raynes; Ann Rutledge

Opis

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.

Recenzje

"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

O autorze

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.