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Collateralized debt obligations [[electronic resource] ] : structures and analysis / / Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi
| Collateralized debt obligations [[electronic resource] ] : structures and analysis / / Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi |
| Autore | Lucas Douglas J |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley & Sons, c2006 |
| Descrizione fisica | 1 online resource (529 p.) |
| Disciplina | 332.6323 |
| Altri autori (Persone) |
GoodmanLaurie S
FabozziFrank J |
| Collana |
The Frank J. Fabozzi series
Wiley finance |
| Soggetto topico |
Asset-backed financing
Debt |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20131-4
1-280-45041-X 9786610450411 0-470-04531-0 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Collateralized Debt Obligations: Structures and Analysis Second Edition; Contents; Preface; About the Authors; Part I: Introduction to Cash CDOs; Chapter 1: Cash CDO Basics; WHY STUDY CDOs?; UNDERSTANDING CDOs; CREDIT STRUCTURES; A CDO STRUCTURAL MATRIX; CDOs BEING OFFERED TODAY; PARTIES TO A CDO; Chapter 2: Cash Flow CDOs; DISTRIBUTION OF CASH FLOWS; RESTRICTIONS ON MANAGEMENT: SAFETY NETS; CREDIT RATINGS; CALL PROVISIONS IN CDO TRANSACTIONS; Part II: Loans and CLOs; Chapter 3: High-Yield Loans: Structure and Performance; THE LOAN MARKET; THE SYNDICATION PROCESS; LOAN STRUCTURE AND LEADERS
LOAN INTEREST RATES AND UPFRONT FEESLOAN CREDIT QUALITY; LENDER'S LIABILITY; OVERVIEW OF LOAN TERMS; LOAN TERMS VERSUS BOND TERMS; A TALE OF TWO LOANS; THE SECONDARY MARKET; LOAN RECOVERY RATES; LOAN DEFAULT RATES; HIGH-YIELD LOAN CLO VERSUS HIGH-YIELD BOND CBO PERFORMANCE; CONCLUSION; Chapter 4: European Bank Loans and Middle Market Loans; EUROPEAN BANK LOANS; MIDDLE MARKET LOANS; CONCLUSION; Part III: Structured Finance CDOs and Collateral Review; Chapter 5: Review of Structured Finance Collateral: Mortgage-Related Products; RESIDENTIAL MORTGAGE-BACKED SECURITIES COMMERCIAL MORTGAGE-BACKED SECURITIESREAL ESTATE INVESTMENT TRUST DEBT; Chapter 6: Review of Structured Finance Collateral: Nonmortgage ABS; CREDIT CARD RECEIVABLE-BACKED SECURITIES; AUTO LOAN-BACKED SECURITIES; STUDENT LOAN-BACKED SECURITIES; SBA LOAN-BACKED SECURITIES; AIRCRAFT LEASE-BACKED SECURITIES; FRANCHISE LOAN-BACKED SECURITIES; RATE REDUCTION BONDS; Chapter 7: Structured Finance Default and Recovery Rates; STRUCTURED FINANCE VERSUS CORPORATE DEFAULT RATES; S&P RATING TRANSITION STUDIES AND THE MATRIX MULTIPLYING APPROACH; RESULTS OF MULTIPLYING S&P RATING TRANSITION MATRICES S&P ON STRUCTURED FINANCE LOSS GIVEN DEFAULTS&P CONSTANT ANNUAL DEFAULT AND RECOVERIES; MOODY'S MATERIAL IMPAIRMENT STUDY; COMPARING AND RECONCILING STRUCTURED FINANCE DEFAULT RATES; MOODY'S ON STRUCTURED FINANCE HISTORICAL LOSS RATES; MOODY'S CONSTANT ANNUAL DEFAULT AND RECOVERIES; BLENDING S&P AND MOODY'S STUDIES; APPLYING CDRs AND RECOVERIES TO SF CDOs; CONCLUSION; Chapter 8: Structured Finance Cash Flow CDOs; SF CDOs VERSUS HIGH-YIELD CDOs; RATING AGENCIES ON STRUCTURED FINANCE CDOs; STRUCTURED FINANCE ASSETS' NEGATIVE CONVEXITY; EXTENSION RISK; CONCLUSION Part IV: Other Types of Cash CDOsChapter 9: Emerging Market CDOs; EM SOVEREIGN BOND DEFAULTS; WHY THE BETTER TRACK RECORD?; CDO RATING DIFFERENCES: EM VERSUS HIGH YIELD; CONCLUSION; Chapter 10: Market Value CDOs; CASH FLOW VERSUS MARKET VALUE DEALS; THE RATING PROCESS; HOW ADVANCE RATES ARE DERIVED; CONCLUSION; Part V: Synthetic CDOs; Chapter 11: Introduction to Credit Default Swaps and Synthetic CDOs; CREDIT DEFAULT SWAPS; SYNTHETIC CDOs; CONCLUSION; Chapter 12: Synthetic Balance Sheet CDOs; CASH CLOs FOR BALANCE SHEET MANAGEMENT; PARTIALLY FUNDED SYNTHETIC CDOs; CONCLUSION Chapter 13: Synthetic Arbitrage CDOs |
| Record Nr. | UNINA-9910143576503321 |
Lucas Douglas J
|
||
| Hoboken, N.J., : J. Wiley & Sons, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Collateralized debt obligations [[electronic resource] ] : structures and analysis / / Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi
| Collateralized debt obligations [[electronic resource] ] : structures and analysis / / Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi |
| Autore | Lucas Douglas J |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley & Sons, c2006 |
| Descrizione fisica | 1 online resource (529 p.) |
| Disciplina | 332.6323 |
| Altri autori (Persone) |
GoodmanLaurie S
FabozziFrank J |
| Collana |
The Frank J. Fabozzi series
Wiley finance |
| Soggetto topico |
Asset-backed financing
Debt |
| ISBN |
1-119-20131-4
1-280-45041-X 9786610450411 0-470-04531-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Collateralized Debt Obligations: Structures and Analysis Second Edition; Contents; Preface; About the Authors; Part I: Introduction to Cash CDOs; Chapter 1: Cash CDO Basics; WHY STUDY CDOs?; UNDERSTANDING CDOs; CREDIT STRUCTURES; A CDO STRUCTURAL MATRIX; CDOs BEING OFFERED TODAY; PARTIES TO A CDO; Chapter 2: Cash Flow CDOs; DISTRIBUTION OF CASH FLOWS; RESTRICTIONS ON MANAGEMENT: SAFETY NETS; CREDIT RATINGS; CALL PROVISIONS IN CDO TRANSACTIONS; Part II: Loans and CLOs; Chapter 3: High-Yield Loans: Structure and Performance; THE LOAN MARKET; THE SYNDICATION PROCESS; LOAN STRUCTURE AND LEADERS
LOAN INTEREST RATES AND UPFRONT FEESLOAN CREDIT QUALITY; LENDER'S LIABILITY; OVERVIEW OF LOAN TERMS; LOAN TERMS VERSUS BOND TERMS; A TALE OF TWO LOANS; THE SECONDARY MARKET; LOAN RECOVERY RATES; LOAN DEFAULT RATES; HIGH-YIELD LOAN CLO VERSUS HIGH-YIELD BOND CBO PERFORMANCE; CONCLUSION; Chapter 4: European Bank Loans and Middle Market Loans; EUROPEAN BANK LOANS; MIDDLE MARKET LOANS; CONCLUSION; Part III: Structured Finance CDOs and Collateral Review; Chapter 5: Review of Structured Finance Collateral: Mortgage-Related Products; RESIDENTIAL MORTGAGE-BACKED SECURITIES COMMERCIAL MORTGAGE-BACKED SECURITIESREAL ESTATE INVESTMENT TRUST DEBT; Chapter 6: Review of Structured Finance Collateral: Nonmortgage ABS; CREDIT CARD RECEIVABLE-BACKED SECURITIES; AUTO LOAN-BACKED SECURITIES; STUDENT LOAN-BACKED SECURITIES; SBA LOAN-BACKED SECURITIES; AIRCRAFT LEASE-BACKED SECURITIES; FRANCHISE LOAN-BACKED SECURITIES; RATE REDUCTION BONDS; Chapter 7: Structured Finance Default and Recovery Rates; STRUCTURED FINANCE VERSUS CORPORATE DEFAULT RATES; S&P RATING TRANSITION STUDIES AND THE MATRIX MULTIPLYING APPROACH; RESULTS OF MULTIPLYING S&P RATING TRANSITION MATRICES S&P ON STRUCTURED FINANCE LOSS GIVEN DEFAULTS&P CONSTANT ANNUAL DEFAULT AND RECOVERIES; MOODY'S MATERIAL IMPAIRMENT STUDY; COMPARING AND RECONCILING STRUCTURED FINANCE DEFAULT RATES; MOODY'S ON STRUCTURED FINANCE HISTORICAL LOSS RATES; MOODY'S CONSTANT ANNUAL DEFAULT AND RECOVERIES; BLENDING S&P AND MOODY'S STUDIES; APPLYING CDRs AND RECOVERIES TO SF CDOs; CONCLUSION; Chapter 8: Structured Finance Cash Flow CDOs; SF CDOs VERSUS HIGH-YIELD CDOs; RATING AGENCIES ON STRUCTURED FINANCE CDOs; STRUCTURED FINANCE ASSETS' NEGATIVE CONVEXITY; EXTENSION RISK; CONCLUSION Part IV: Other Types of Cash CDOsChapter 9: Emerging Market CDOs; EM SOVEREIGN BOND DEFAULTS; WHY THE BETTER TRACK RECORD?; CDO RATING DIFFERENCES: EM VERSUS HIGH YIELD; CONCLUSION; Chapter 10: Market Value CDOs; CASH FLOW VERSUS MARKET VALUE DEALS; THE RATING PROCESS; HOW ADVANCE RATES ARE DERIVED; CONCLUSION; Part V: Synthetic CDOs; Chapter 11: Introduction to Credit Default Swaps and Synthetic CDOs; CREDIT DEFAULT SWAPS; SYNTHETIC CDOs; CONCLUSION; Chapter 12: Synthetic Balance Sheet CDOs; CASH CLOs FOR BALANCE SHEET MANAGEMENT; PARTIALLY FUNDED SYNTHETIC CDOs; CONCLUSION Chapter 13: Synthetic Arbitrage CDOs |
| Record Nr. | UNINA-9910830505203321 |
|
Lucas Douglas J
|
||
| Hoboken, N.J., : J. Wiley & Sons, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Collateralized debt obligations [[electronic resource] ] : structures and analysis / / Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi
| Collateralized debt obligations [[electronic resource] ] : structures and analysis / / Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi |
| Autore | Lucas Douglas J |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley & Sons, c2006 |
| Descrizione fisica | 1 online resource (529 p.) |
| Disciplina | 332.6323 |
| Altri autori (Persone) |
GoodmanLaurie S
FabozziFrank J |
| Collana |
The Frank J. Fabozzi series
Wiley finance |
| Soggetto topico |
Asset-backed financing
Debt |
| ISBN |
1-119-20131-4
1-280-45041-X 9786610450411 0-470-04531-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Collateralized Debt Obligations: Structures and Analysis Second Edition; Contents; Preface; About the Authors; Part I: Introduction to Cash CDOs; Chapter 1: Cash CDO Basics; WHY STUDY CDOs?; UNDERSTANDING CDOs; CREDIT STRUCTURES; A CDO STRUCTURAL MATRIX; CDOs BEING OFFERED TODAY; PARTIES TO A CDO; Chapter 2: Cash Flow CDOs; DISTRIBUTION OF CASH FLOWS; RESTRICTIONS ON MANAGEMENT: SAFETY NETS; CREDIT RATINGS; CALL PROVISIONS IN CDO TRANSACTIONS; Part II: Loans and CLOs; Chapter 3: High-Yield Loans: Structure and Performance; THE LOAN MARKET; THE SYNDICATION PROCESS; LOAN STRUCTURE AND LEADERS
LOAN INTEREST RATES AND UPFRONT FEESLOAN CREDIT QUALITY; LENDER'S LIABILITY; OVERVIEW OF LOAN TERMS; LOAN TERMS VERSUS BOND TERMS; A TALE OF TWO LOANS; THE SECONDARY MARKET; LOAN RECOVERY RATES; LOAN DEFAULT RATES; HIGH-YIELD LOAN CLO VERSUS HIGH-YIELD BOND CBO PERFORMANCE; CONCLUSION; Chapter 4: European Bank Loans and Middle Market Loans; EUROPEAN BANK LOANS; MIDDLE MARKET LOANS; CONCLUSION; Part III: Structured Finance CDOs and Collateral Review; Chapter 5: Review of Structured Finance Collateral: Mortgage-Related Products; RESIDENTIAL MORTGAGE-BACKED SECURITIES COMMERCIAL MORTGAGE-BACKED SECURITIESREAL ESTATE INVESTMENT TRUST DEBT; Chapter 6: Review of Structured Finance Collateral: Nonmortgage ABS; CREDIT CARD RECEIVABLE-BACKED SECURITIES; AUTO LOAN-BACKED SECURITIES; STUDENT LOAN-BACKED SECURITIES; SBA LOAN-BACKED SECURITIES; AIRCRAFT LEASE-BACKED SECURITIES; FRANCHISE LOAN-BACKED SECURITIES; RATE REDUCTION BONDS; Chapter 7: Structured Finance Default and Recovery Rates; STRUCTURED FINANCE VERSUS CORPORATE DEFAULT RATES; S&P RATING TRANSITION STUDIES AND THE MATRIX MULTIPLYING APPROACH; RESULTS OF MULTIPLYING S&P RATING TRANSITION MATRICES S&P ON STRUCTURED FINANCE LOSS GIVEN DEFAULTS&P CONSTANT ANNUAL DEFAULT AND RECOVERIES; MOODY'S MATERIAL IMPAIRMENT STUDY; COMPARING AND RECONCILING STRUCTURED FINANCE DEFAULT RATES; MOODY'S ON STRUCTURED FINANCE HISTORICAL LOSS RATES; MOODY'S CONSTANT ANNUAL DEFAULT AND RECOVERIES; BLENDING S&P AND MOODY'S STUDIES; APPLYING CDRs AND RECOVERIES TO SF CDOs; CONCLUSION; Chapter 8: Structured Finance Cash Flow CDOs; SF CDOs VERSUS HIGH-YIELD CDOs; RATING AGENCIES ON STRUCTURED FINANCE CDOs; STRUCTURED FINANCE ASSETS' NEGATIVE CONVEXITY; EXTENSION RISK; CONCLUSION Part IV: Other Types of Cash CDOsChapter 9: Emerging Market CDOs; EM SOVEREIGN BOND DEFAULTS; WHY THE BETTER TRACK RECORD?; CDO RATING DIFFERENCES: EM VERSUS HIGH YIELD; CONCLUSION; Chapter 10: Market Value CDOs; CASH FLOW VERSUS MARKET VALUE DEALS; THE RATING PROCESS; HOW ADVANCE RATES ARE DERIVED; CONCLUSION; Part V: Synthetic CDOs; Chapter 11: Introduction to Credit Default Swaps and Synthetic CDOs; CREDIT DEFAULT SWAPS; SYNTHETIC CDOs; CONCLUSION; Chapter 12: Synthetic Balance Sheet CDOs; CASH CLOs FOR BALANCE SHEET MANAGEMENT; PARTIALLY FUNDED SYNTHETIC CDOs; CONCLUSION Chapter 13: Synthetic Arbitrage CDOs |
| Record Nr. | UNINA-9910840924303321 |
|
Lucas Douglas J
|
||
| Hoboken, N.J., : J. Wiley & Sons, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Subprime mortgage credit derivatives [[electronic resource] /] / Laurie S. Goodman ... [et al.]
| Subprime mortgage credit derivatives [[electronic resource] /] / Laurie S. Goodman ... [et al.] |
| Autore | GOODMAN LAURIE |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (352 p.) |
| Disciplina |
332.63/244
332.63244 |
| Altri autori (Persone) | GoodmanLaurie S |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Subprime mortgage loans - United States
Secondary mortgage market - United States |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-45055-3
9786611450557 1-118-26716-8 0-470-39274-6 |
| Classificazione | 85.33 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910143824603321 |
|
GOODMAN LAURIE
|
||
| Hoboken, N.J., : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Subprime mortgage credit derivatives [[electronic resource] /] / Laurie S. Goodman ... [et al.]
| Subprime mortgage credit derivatives [[electronic resource] /] / Laurie S. Goodman ... [et al.] |
| Autore | GOODMAN LAURIE |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (352 p.) |
| Disciplina |
332.63/244
332.63244 |
| Altri autori (Persone) | GoodmanLaurie S |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Subprime mortgage loans - United States
Secondary mortgage market - United States |
| ISBN |
1-281-45055-3
9786611450557 1-118-26716-8 0-470-39274-6 |
| Classificazione | 85.33 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910830901103321 |
|
GOODMAN LAURIE
|
||
| Hoboken, N.J., : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Subprime mortgage credit derivatives [[electronic resource] /] / Laurie S. Goodman ... [et al.]
| Subprime mortgage credit derivatives [[electronic resource] /] / Laurie S. Goodman ... [et al.] |
| Autore | GOODMAN LAURIE |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (352 p.) |
| Disciplina |
332.63/244
332.63244 |
| Altri autori (Persone) | GoodmanLaurie S |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Subprime mortgage loans - United States
Secondary mortgage market - United States |
| ISBN |
1-281-45055-3
9786611450557 1-118-26716-8 0-470-39274-6 |
| Classificazione | 85.33 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910841186803321 |
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GOODMAN LAURIE
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| Hoboken, N.J., : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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