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Investing in mortgage and asset backed securities, + website : financial modeling with r and open source analytics / / Glenn M. Schultz ; foreword by Frank J. Fabozzi
| Investing in mortgage and asset backed securities, + website : financial modeling with r and open source analytics / / Glenn M. Schultz ; foreword by Frank J. Fabozzi |
| Autore | Schultz Glenn M. |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (419 p.) |
| Disciplina | 332.63/244 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Mortgage-backed securities
Securities Investments |
| ISBN |
1-119-22150-1
1-119-22153-6 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Foreword iii Acknowledgments v Introduction ix Preface xix Part I Valuation of Fixed Income Securities 1 Chapter 1 The Time Value of Money 3 1.1 Present Value 4 1.2 Future Value 5 1.3 Present Value of an Annuity 6 1.4 Future Value of an Annuity 7 1.5 Solving Financial Questions with Present and Future Value 8 1.6 Application to Fixed Income Securities 9 Chapter 2 Theories of the Term Structure of Interest Rates 11 2.1 The Rational or Pure Expectations Hypothesis 13 2.2 The Market Segmentation Theory 17 2.3 The Liquidity Preference Theory 17 2.4 Modeling the Term Structure of Interest Rates 19 2.5 Application of Spot and Forward Rates 21 Chapter 3 Fixed Income Metrics 27 3.1 Maturity 28 3.2 Yield to Maturity 28 3.3 Weighted Average Life 34 3.4 Duration 36 3.4.1 Macaulay Duration 37 3.4.2 Modified Duration 39 3.5 Convexity 42 3.6 Fisher-Weil Duration and Convexity 45 3.7 Effective Duration 51 3.8 Effective Convexity 53 3.9 Summing the Aforementioned Measures of Duration and Convexity 54 3.10 Key Rate Duration 55 Chapter 4 The Valuation of Fixed Income Securities 59 4.1 A Valuation Framework for Fixed Income Securities 60 4.2 Application of the Framework to Structured Securities 61 4.3 Twist and Shift: Characterizing Changes in the Level, Steepness, and Curvature of the Term Structure 63 4.4 Case Study: 4.00% 30-year MBS 65 4.5 Scenario Comparative Analysis 74 Chapter 5 Fixed Income Return Analysis 77 5.1 Return Strategies 78 5.2 The Components of Return 80 5.3 The Buy and Hold Strategy 80 5.4 Total and Absolute Returns 83 5.5 Deconstructing the Fixed Income Return Profile 84 5.6 Estimating Bond Returns with Price and Risk Measures 86 Part II Residential Mortgage Backed Securities 89 Chapter 6 Understanding Mortgage Lending and Loans 91 6.1 Classification of Real Estate 92 6.2 Residential Mortgage Loan Amortization 100 6.3 Deconstructing the Amortization Table 103 6.4 Mortgage Servicing 104 Chapter 7 Modeling Cash Flows 107 7.1 Prepayment Conventions 108 7.2 Modeling MBS Cash Flows 111 7.2.1 0% PPC Assumption - No Prepayment 112 Chapter 8 Mortgage Prepayment Analysis 117 8.1 Big Data - What is it? 118 8.2 The Statistical Learner 118 8.3 Survival Analysis 120 8.4 The Cox Proportional Hazards Model 125 8.5 Data Types 127 8.6 Case Study: FHLMC 30-yr Loan Level Prepayment Analysis 128 8.7 Survival Analysis - Modeling Loan Cohorts 139 Chapter 9 The Predictive Prepayment Model 145 9.1 Turnover 147 9.2 Loan Seasoning 147 9.3 Seasonality 149 9.4 Borrower Incentive to Refinance 150 9.5 Borrower Burnout 153 9.6 Application of the Prepayment Model 162 Part III Valuation of Mortgage Backed Securities 167 Chapter 10 Mortgage Dollar Roll 169 10.1 Evaluating the Dollar Roll 171 10.2 Risk Associated with the Dollar Roll 179 Chapter 11 Relative Value Analysis 183 11.1 Liquidity 184 11.2 Static Cash Flow Analysis 185 11.3 Return Analysis 189 Chapter 12 Option Adjusted Spread Analysis 197 12.1 Numerical Methods of Modern Financial Theory 199 12.2 Cox, Ingersoll, Ross Theory of the Term Structure 201 12.3 Calibrating the Model 206 12.4 Building the Option Adjusted Spread (OAS) Model 208 12.5 OAS Analysis as a Decision Making Tool 216 12.6 OAS Distribution Analysis 219 12.7 OAS Analysis Strengths and Limitations 225 Part IV Structuring Mortgage Backed Securities 227 Chapter 13 Introduction to REMICs 229 13.1 Background and Legal Structure 230 13.2 Two Tiered REMICs 234 13.3 REMIC Arbitrage 235 13.4 Bond Lab MBS Structuring Model 237 Chapter 14 Stripped Mortgage Backed Securities 239 14.1 Key Rate Duration Analysis 243 14.2 Option Adjusted Spread Analysis 245 14.3 The Information Content of the IO-PO Market 249 Chapter 15 Sequentially Structured REMIC 255 15.1 Key Rate Duration Analysis 259 15.2 Option Adjusted Spread Analysis 261 15.3 Weighted Average Life and Spot Spread Analysis 261 15.4 Static Cash Flow Analysis 266 Chapter 16 Planned Amortization Class (PAC) and Companion REMICs 269 16.1 The PAC Bond Sinking Fund Schedule 270 16.2 Key Rate Duration Analysis 277 16.3 Option Adjusted Spread Analysis 279 16.4 OAS Distribution Analysis 280 16.5 A Final Word Regarding PAC Bands 284 16.6 Static Cash Flow Analysis 285 Chapter 17 Sequential IO REMIC 287 17.1 Key Rate Duration Analysis 290 17.2 OAS Distribution Analysis 292 Chapter 18 PAC-Floater-Inverse Floater REMIC 295 18.1 Structuring the Floater and Inverse Floater 296 18.2 A Framework for Floating Rate Securities 301 18.3 Option Adjusted Spread Analysis 304 18.4 Key Rate Duration Analysis 304 Chapter 19 Accrual REMIC Z-bond 311 19.1 Key Rate Duration Analysis 317 19.2 Option Adjusted Spread Analysis 318 Part V Mortgage Credit Analysis 323 Chapter 20 Mortgage Default Modeling 325 20.1 Case Study FHLMC 30-year Default Analysis 327 20.2 Other Variables Influencing Borrower Default 335 20.3 Spread at Origination (SATO) and Default 340 20.4 Default Model Selection 340 Chapter 21 The Predictive Default Model 345 21.1 Constant Default Rate 347 21.2 Borrower Original Loan to Value Default Multiplier 348 21.3 Updated Loan to Value Default Multiplier 349 21.4 Spread at Origination (SATO) Default Multipliers 351 21.5 Completing the Prepayment Model 353 Chapter 22 The Basics of Private Label MBS 357 22.3 Y Structure 359 22.4 Shifting Interest 362 22.5 Deep Mortgage Insurance MI 363 22.6 Excess Interest 365 22.7 Overcollateralization 366 22.8 Structural Credit Protection 366 22.9 Hedging Asset/Liability Mismatches 369 Chapter 23 Sizing Mortgage Credit Enhancement 373 23.1 Simulating Borrower Default Rates 375 23.2 Estimation of Cumulative Default Rates 375 23.3 Translating Credit Enhancement to a Third Party Guarantee Fee 378 23.4 Role of the Credit Rating Agencies (NRSROs) 379 Chapter 24 Index 383 . |
| Record Nr. | UNINA-9910137498503321 |
Schultz Glenn M.
|
||
| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Risk in the global real estate market [[electronic resource] ] : international risk regulation, mechanism design, foreclosures, title systems and REITs / / Michael C.I. Nwogugu
| Risk in the global real estate market [[electronic resource] ] : international risk regulation, mechanism design, foreclosures, title systems and REITs / / Michael C.I. Nwogugu |
| Autore | Nwogugu Michael C. I |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (459 p.) |
| Disciplina | 332.63/244 |
| Collana | Wiley finance |
| Soggetto topico |
Real estate business
Risk Mortgages Foreclosure Real estate investment trusts |
| ISBN |
1-118-17771-1
1-119-20239-6 1-280-59031-9 9786613620149 1-118-17773-8 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Risk in the Global Real Estate Market; Contents; Preface; CHAPTER 1 Regulation and Constitutional Torts; Federalism, Preemption, and Risk; The Restoring American Financial Stability Act of 2010 (RAFSA); The Existing "Tests" for Unconstitutionality; Quasi Constitutions; Social Capital; References; CHAPTER 2 A Critique of Mechanism Design; Conclusion; Reference; CHAPTER 3 General Public Health and Social Psychology Issues in Global Housing Markets and Mortgage Markets; Survey of Public Health Problems Caused by Traditional Mortgages and Foreclosures; Conclusion; References
CHAPTER 4 Public Health Issues: Psychological Factors Inherent in Housing Demand, Mortgage Demand, and House Prices Proposition 1: Credit Bias; Proposition 2: The S&L Crisis Effect; Proposition 3: Tenure Bias; Proposition 4: Low Willingness to Accept Losses (WTAL); Proposition 5: Investment Horizon Effect; Proposition 6: The Deferred-Disutility/Deferred Pain Bias; Proposition 7: The Lender-Experience Effect; Proposition 8: The Government Intervention Effect; Proposition 9: The Multiple-Listing-Service (MLS) Effect; Proposition 10: Psychological Limitations on Supply of Housing Units Validity of Housing Demand Models Conclusion; References; CHAPTER 5 Behavioral Biases in Property Taxation and Property Appraisal; Biases in Property Taxation; Psychological Effects and Biases Inherent in Property Appraisal; Conclusion; References; CHAPTER 6 Foreclosure Statutes and Processes; Foreclosures Reduce the Efficiency of Monetary Policies and Fiscal Policies; Some Adverse Contagion Effects of Foreclosures; The Statutory Ban of Waiver of Judicial Foreclosure in Conveyancing Documents and the Omission of Nonjudicial Foreclosure from States' Laws Are Unconstitutional The Borrower's Post-Foreclosure Right of Redemption Is Unconstitutional The Unconstitutionality of Preemptive Foreclosure Rules; Enforcement of Core Foreclosure Processes and the Failure to Enact Uniform Federal Foreclosure and Mortgage Statutes Constitute Violations of the U.S. Constitution; Alternative Foreclosure Systems; New Theories of Takings; Conclusion; References; CHAPTER 7 Unconstitutionality of U.S. Bankruptcy Code, Preemption of State-Law Mortgage Foreclosure Statutes, and Related Economic Effects; Existing Literature; Survey of Macroeconomic Effects of Bankruptcy Codes The Financial Accelerator Theory Is InaccurateCriteria for Preemption: Equitable Subordination, Fraudulent Transfers (the "Reasonably Equivalent Value" Doctrine), the Deprizio Controversy, and the Bankruptcy Abuse Prevention and Consumer Protection Act of 2005; The U.S. Supreme Court's Standards for Preemption Cases; New Standards for Preemption Cases; Constitutional Law Issues; Due Process Rights; The Separation-of-Powers Doctrine; A New Theory of Takings; Conclusion; Note; References; CHAPTER 8 Mortgages and Deeds of Trust Improper Coupling/Combinations of Mortgage Markets, Rental Markets, Savings/Investment Markets, and Property-Value Markets |
| Record Nr. | UNINA-9910139713203321 |
|
Nwogugu Michael C. I
|
||
| Hoboken, N.J., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Risk in the global real estate market : international risk regulation, mechanism design, foreclosures, title systems and REITs / / Michael C.I. Nwogugu
| Risk in the global real estate market : international risk regulation, mechanism design, foreclosures, title systems and REITs / / Michael C.I. Nwogugu |
| Autore | Nwogugu Michael C. I |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (459 p.) |
| Disciplina | 332.63/244 |
| Collana | Wiley finance |
| Soggetto topico |
Real estate business
Risk Mortgages Foreclosure Real estate investment trusts |
| ISBN |
1-118-17771-1
1-119-20239-6 1-280-59031-9 9786613620149 1-118-17773-8 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Risk in the Global Real Estate Market; Contents; Preface; CHAPTER 1 Regulation and Constitutional Torts; Federalism, Preemption, and Risk; The Restoring American Financial Stability Act of 2010 (RAFSA); The Existing "Tests" for Unconstitutionality; Quasi Constitutions; Social Capital; References; CHAPTER 2 A Critique of Mechanism Design; Conclusion; Reference; CHAPTER 3 General Public Health and Social Psychology Issues in Global Housing Markets and Mortgage Markets; Survey of Public Health Problems Caused by Traditional Mortgages and Foreclosures; Conclusion; References
CHAPTER 4 Public Health Issues: Psychological Factors Inherent in Housing Demand, Mortgage Demand, and House Prices Proposition 1: Credit Bias; Proposition 2: The S&L Crisis Effect; Proposition 3: Tenure Bias; Proposition 4: Low Willingness to Accept Losses (WTAL); Proposition 5: Investment Horizon Effect; Proposition 6: The Deferred-Disutility/Deferred Pain Bias; Proposition 7: The Lender-Experience Effect; Proposition 8: The Government Intervention Effect; Proposition 9: The Multiple-Listing-Service (MLS) Effect; Proposition 10: Psychological Limitations on Supply of Housing Units Validity of Housing Demand Models Conclusion; References; CHAPTER 5 Behavioral Biases in Property Taxation and Property Appraisal; Biases in Property Taxation; Psychological Effects and Biases Inherent in Property Appraisal; Conclusion; References; CHAPTER 6 Foreclosure Statutes and Processes; Foreclosures Reduce the Efficiency of Monetary Policies and Fiscal Policies; Some Adverse Contagion Effects of Foreclosures; The Statutory Ban of Waiver of Judicial Foreclosure in Conveyancing Documents and the Omission of Nonjudicial Foreclosure from States' Laws Are Unconstitutional The Borrower's Post-Foreclosure Right of Redemption Is Unconstitutional The Unconstitutionality of Preemptive Foreclosure Rules; Enforcement of Core Foreclosure Processes and the Failure to Enact Uniform Federal Foreclosure and Mortgage Statutes Constitute Violations of the U.S. Constitution; Alternative Foreclosure Systems; New Theories of Takings; Conclusion; References; CHAPTER 7 Unconstitutionality of U.S. Bankruptcy Code, Preemption of State-Law Mortgage Foreclosure Statutes, and Related Economic Effects; Existing Literature; Survey of Macroeconomic Effects of Bankruptcy Codes The Financial Accelerator Theory Is InaccurateCriteria for Preemption: Equitable Subordination, Fraudulent Transfers (the "Reasonably Equivalent Value" Doctrine), the Deprizio Controversy, and the Bankruptcy Abuse Prevention and Consumer Protection Act of 2005; The U.S. Supreme Court's Standards for Preemption Cases; New Standards for Preemption Cases; Constitutional Law Issues; Due Process Rights; The Separation-of-Powers Doctrine; A New Theory of Takings; Conclusion; Note; References; CHAPTER 8 Mortgages and Deeds of Trust Improper Coupling/Combinations of Mortgage Markets, Rental Markets, Savings/Investment Markets, and Property-Value Markets |
| Record Nr. | UNINA-9910823516203321 |
|
Nwogugu Michael C. I
|
||
| Hoboken, N.J., : Wiley, 2011 | ||
| 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-9910877563803321 |
|
GOODMAN LAURIE
|
||
| Hoboken, N.J., : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||