Vai al contenuto principale della pagina
Autore: | GOODMAN LAURIE |
Titolo: | Subprime mortgage credit derivatives [[electronic resource] /] / Laurie S. Goodman ... [et al.] |
Pubblicazione: | Hoboken, N.J., : John Wiley & Sons, c2008 |
Edizione: | 1st edition |
Descrizione fisica: | 1 online resource (352 p.) |
Disciplina: | 332.63/244 |
332.63244 | |
Soggetto topico: | Subprime mortgage loans - United States |
Secondary mortgage market - United States | |
Classificazione: | 85.33 |
Altri autori: | GoodmanLaurie S |
Note generali: | Includes index. |
Nota di contenuto: | Subprime Mortgage Credit Derivatives; Contents; Preface; About the Authors; Part I: Mortgage Credit; Chapter 1: Overview of the Nonagency Mortgage Market; ISSUANCE VOLUMES; ROOTS OF THE 2007- 2008 SUBPRIME CRISIS; DEFINING CHARACTERISTICS OF NONAGENCY MORTGAGES; LOAN CHARACTERISTICS; RISK LAYERING; AGENCY VERSUS NONAGENCY EXECUTION; SUMMARY; Chapter 2: First Lien Mortgage Credit; CONCEPTS AND MEASUREMENTS OF MORTGAGE CREDIT; COLLATERAL CHARACTERISTICS AND MORTGAGE CREDIT: ASSAULT OF THE FOUR Cs IN 2006 ( CREDIT, COLLATERAL, CAPACITY, AND CHARACTER) |
THE END GAME: FORECLOSURE, REO TIMELINE, AND SEVERITYTHE ROLE OF UNOBSERVABLE IN 2006 SUBPRIME MORTGAGE CREDIT; Chapter 3: Second Lien Mortgage Credit; TWO TYPES OF SECONDS; HIGHER RISKS IN SECONDS; RECENT PERFORMANCE; WHY HIGHER LOSSES?; SUMMARY; Part II: Mortgage Securitizations; Chapter 4: Features of Excess Spread/Overcollateralization: The Principle Subprime Structure; EXCESS SPREAD-BASED CREDIT ENHANCEMENT; OC IN ALT-A-LAND; OC INTERNAL WORKINGS; SUMMARY; Chapter 5: Subprime Triggers and Step-Downs; THE STEP-DOWN AND THE TRIGGER; BBB STACK (ON THE KNIFE'S EDGE) | |
EFFECT OF TRIGGERS AND THE LOSS WATERLINESAMPLING THE SUBPRIME UNIVERSE; 2000- 2003 DEAL STEP-DOWN SUMMARY; STEP-DOWN AND CREDIT EFFECTS; SUMMARY; Part III: Credit Default Swaps on Mortgage Securities; Chapter 6: Introduction to Credit Default Swap on ABS CDS; CORPORATE CDS FUNDAMENTALS AND TERMINOLOGY; DIFFERENCES BETWEEN CORPORATE CDS AND ABS CDS; DIFFICULTIES IN ABS CDS; ABS CDS EFFECT ON ABS CDO MANAGEMENT; TWO NEW TYPES OF ABS CDOs; SUMMARY; Chapter 7: The ABX and TABX Indices; BACKGROUND; HOW A DEAL GETS INTO THE INDEX; INDEX MECHANICS; INDEX PRICING OVER TIME; ABX TRANCHE TRADING | |
TABX PRICINGTABX VERSUS CDOs; SUMMARY; Chapter 8: Relationship among Cash, ABCDS, and the ABX; FUNDAMENTAL CONTRACTUAL DIFFERENCES: SINGLE-NAME ABCDS/ABX INDEX/CASH; SUPPLY/DEMAND TECHNICALS; WHAT KEEPS THE ARBITRAGE FROM GOING AWAY?; SUMMARY; APPENDIX: IMPORTANCE OF ABCDS TO CDO MANAGERS; Chapter 9: Credit Default Swaps on CDOs; CDO CDS NOMENCLATURE; CDO CREDIT PROBLEMS AND THEIR CONSEQUENCES; ALTERNATIVE INTEREST CAP OPTIONS; MISCELLANEOUS TERMS; CASH CDO VERSUS CDO CDS; EXITING A CDO CDS; RATING AGENCY CONCERNS ON CDOs THAT SELL PROTECTION VIA CDO CDS; SUMMARY | |
Part IV: Loss Projection and Security ValuationChapter 10: Loss Projection for Subprime, Alt-A, and Second Lien Mortgages; TWO WAYS OF PROJECTING LOSS; DEFAULT TIMING; STEPS IN PREDICTING COLLATAL LOSSES; PROS AND CONS OF THE DEFAULT TIMING CURVE; HISTORICAL MODEL FIT VERSUS ACTUAL; DEFAULT TIMING IS NOT EQUAL TO LOSS TIMING; AN ALTERNATIVE SPECIFICATION; ALT-A AND CLOSED-END SECONDS; SUMMARY; Chapter 11: Valuing the ABX; REVIEW OF BASIC VALUATION FOR ABX INDICES; REVIEW OF VALUATION APPROACHES; ECONOMETRIC APPROACH; ABX VALUATION; THE "SIMPLE" OR DO-IT-YOURSELF APPROACH TO ABX VALUATION | |
ABX AFTER SUBPRIME SHUTDOWN | |
Sommario/riassunto: | Mortgage credit derivatives are a risky business, especially of late. Written by an expert author team of UBS practitioners-Laurie Goodman, Shumin Li, Douglas Lucas, and Thomas Zimmerman-along with Frank Fabozzi of Yale University, Subprime Mortgage Credit Derivatives covers state-of-the-art instruments and strategies for managing a portfolio of mortgage credits in today's volatile climate.Divided into four parts, this book addresses a variety of important topics, including mortgage credit (non-agency, first and second lien), mortgage securitizations (alternate structures and su |
Titolo autorizzato: | Subprime mortgage credit derivatives |
ISBN: | 1-281-45055-3 |
9786611450557 | |
1-118-26716-8 | |
0-470-39274-6 | |
Formato: | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione: | Inglese |
Record Nr.: | 9910830901103321 |
Lo trovi qui: | Univ. Federico II |
Opac: | Controlla la disponibilità qui |