Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
Corporate bonds and structured financial products [[electronic resource] /] / Moorad Choudhry
| Corporate bonds and structured financial products [[electronic resource] /] / Moorad Choudhry |
| Autore | Choudhry Moorad |
| Pubbl/distr/stampa | London, : Elsevier Butterworth-Heinemann, 2004 |
| Descrizione fisica | 1 online resource (479 p.) |
| Disciplina | 332.63234 |
| Collana | Fixed income markets library |
| Soggetto topico |
Bonds
Corporate bonds Structured notes (Securities) Investment analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-00925-3
9786611009250 0-08-047687-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | front cover; copyright; toc; front matter; body; back matter; index |
| Record Nr. | UNINA-9910457947403321 |
Choudhry Moorad
|
||
| London, : Elsevier Butterworth-Heinemann, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Corporate bonds and structured financial products [[electronic resource] /] / Moorad Choudhry
| Corporate bonds and structured financial products [[electronic resource] /] / Moorad Choudhry |
| Autore | Choudhry Moorad |
| Pubbl/distr/stampa | London, : Elsevier Butterworth-Heinemann, 2004 |
| Descrizione fisica | 1 online resource (479 p.) |
| Disciplina | 332.63234 |
| Collana | Fixed income markets library |
| Soggetto topico |
Bonds
Corporate bonds Structured notes (Securities) Investment analysis |
| ISBN |
1-281-00925-3
9786611009250 0-08-047687-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | front cover; copyright; toc; front matter; body; back matter; index |
| Record Nr. | UNINA-9910784460903321 |
|
Choudhry Moorad
|
||
| London, : Elsevier Butterworth-Heinemann, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Corporate bonds and structured financial products / / Moorad Choudhry
| Corporate bonds and structured financial products / / Moorad Choudhry |
| Autore | Choudhry Moorad |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | London, : Elsevier Butterworth-Heinemann, 2004 |
| Descrizione fisica | 1 online resource (479 p.) |
| Disciplina | 332.63234 |
| Collana | Fixed income markets library |
| Soggetto topico |
Bonds
Corporate bonds Structured notes (Securities) Investment analysis |
| ISBN |
9786611009250
9781281009258 1281009253 9780080476872 0080476872 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | front cover; copyright; toc; front matter; body; back matter; index |
| Record Nr. | UNINA-9910970623003321 |
|
Choudhry Moorad
|
||
| London, : Elsevier Butterworth-Heinemann, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
FX options and structured products / / Uwe Wystup
| FX options and structured products / / Uwe Wystup |
| Autore | Wystup Uwe |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Chichester, [England] : , : Wiley, , 2017 |
| Descrizione fisica | 1 online resource |
| Disciplina | 332.4/5 |
| Collana |
Wiley Finance Series
THEi Wiley ebooks |
| Soggetto topico |
Foreign exchange options
Structured notes (Securities) Derivative securities |
| ISBN |
1-118-47111-3
1-118-47113-X 1-119-19218-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910271058203321 |
|
Wystup Uwe
|
||
| Chichester, [England] : , : Wiley, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
FX options and structured products / / Uwe Wystup
| FX options and structured products / / Uwe Wystup |
| Autore | Wystup Uwe |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Chichester, [England] : , : Wiley, , 2017 |
| Descrizione fisica | 1 online resource |
| Disciplina | 332.4/5 |
| Collana |
Wiley Finance Series
THEi Wiley ebooks |
| Soggetto topico |
Foreign exchange options
Structured notes (Securities) Derivative securities |
| ISBN |
1-118-47111-3
1-118-47113-X 1-119-19218-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910813120203321 |
|
Wystup Uwe
|
||
| Chichester, [England] : , : Wiley, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Structured finance [[electronic resource] ] : the object oriented approach / / Umberto Cherubini, Giovanni Della Lunga
| Structured finance [[electronic resource] ] : the object oriented approach / / Umberto Cherubini, Giovanni Della Lunga |
| Autore | Cherubini Umberto |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (300 p.) |
| Disciplina |
332.0285117
332.602855117 |
| Altri autori (Persone) | Della LungaGiovanni |
| Collana | Wiley finance series |
| Soggetto topico |
Structured notes (Securities)
Derivative securities Investment analysis - Mathematical models Financial engineering |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20926-9
1-280-85604-1 9786610856046 0-470-51272-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Structured Finance; Contents; 1 Structured Finance: A Primer; 1.1 Introduction; 1.2 Arbitrage-free valuation and replicating portfolios; 1.3 Replicating portfolios for derivatives; 1.3.1 Linear derivatives; 1.3.2 Nonlinear derivatives; 1.4 No-arbitrage and pricing; 1.4.1 Univariate claims; 1.4.2 Multivariate claims; 1.5 The structuring process; 1.5.1 The basic objects; 1.5.2 Risk factors, moments and dimensions; 1.5.3 Risk management; 1.6 A tale of two bonds; 1.6.1 Contingent coupons and repayment plans; 1.6.2 Exposure to the risky asset; 1.6.3 Exposure to volatility; 1.6.4 Hedging
1.7 Structured finance and object-oriented programmingReferences and further reading; 2 Object-Oriented Programming; 2.1 Introduction; 2.2 What is OOP (object-oriented programming)?; 2.3 Analysis and design; 2.3.1 A simple example; 2.4 Modelling; 2.4.1 The Unified Modelling Language (UML); 2.4.2 An object-oriented programming language: Java; 2.5 Main ideas about OOP; 2.5.1 Abstraction; 2.5.2 Classes; 2.5.3 Attributes and operations: the Encapsulation principle; 2.5.4 Responsibilities; 2.5.5 Inheritance; 2.5.6 Abstract classes; 2.5.7 Associations; 2.5.8 Message exchanging; 2.5.9 Collections 2.5.10 PolymorphismReferences and further reading; 3 Volatility and Correlation; 3.1 Introduction; 3.2 Volatility and correlation: models and measures; 3.2.1 Implied information; 3.2.2 Parametric models; 3.2.3 Realized (cross)moments; 3.3 Implied probability; 3.4 Volatility measures; 3.4.1 Implied volatility; 3.4.2 Parametric volatility models; 3.4.3 Realized volatility; 3.5 Implied correlation; 3.5.1 Forex markets implied correlation; 3.5.2 Equity "average" implied correlation; 3.5.3 Credit implied correlation; 3.6 Historical correlation; 3.6.1 Multivariate GARCH 3.6.2 Dynamic correlation model3.7 Copula functions; 3.7.1 Copula functions: the basics; 3.7.2 Copula functions: examples; 3.7.3 Copulas and survival copulas; 3.7.4 Copula dualities; 3.8 Conditional probabilities; 3.9 Non-parametric measures; 3.10 Tail dependence; 3.11 Correlation asymmetry; 3.11.1 Correlation asymmetry: finance; 3.11.2 Correlation asymmetry: econometrics; 3.12 Non-exchangeable copulas; 3.13 Estimation issues; 3.14 Lévy processes; References and further reading; 4 Cash Flow Design; 4.1 Introduction; 4.2 Types of bonds; 4.2.1 Floaters and reverse floaters 4.2.2 Convertible bonds4.2.3 Equity-linked notes; 4.2.4 Inflation-linked bonds; 4.2.5 Asset-backed securities; 4.3 Time and scheduler issues; 4.3.1 Payment date conventions; 4.3.2 Day count conventions and accrual factors; 4.4 JScheduler; 4.4.1 Date handling in Java; 4.4.2 Data models; 4.4.3 Design patterns; 4.4.4 The Factory Method pattern; 4.5 Cash flow generator design; 4.5.1 UML's activity diagram; 4.5.2 An important guideline to the data model for derivatives: FpML; 4.5.3 UML's sequence diagram; 4.6 The cleg class; References and further reading; 5 Convertible Bonds; 5.1 Introduction 5.2 Object-oriented structuring process |
| Record Nr. | UNINA-9910143585403321 |
|
Cherubini Umberto
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Structured finance [[electronic resource] ] : the object oriented approach / / Umberto Cherubini, Giovanni Della Lunga
| Structured finance [[electronic resource] ] : the object oriented approach / / Umberto Cherubini, Giovanni Della Lunga |
| Autore | Cherubini Umberto |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (300 p.) |
| Disciplina |
332.0285117
332.602855117 |
| Altri autori (Persone) | Della LungaGiovanni |
| Collana | Wiley finance series |
| Soggetto topico |
Structured notes (Securities)
Derivative securities Investment analysis - Mathematical models Financial engineering |
| ISBN |
1-119-20926-9
1-280-85604-1 9786610856046 0-470-51272-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Structured Finance; Contents; 1 Structured Finance: A Primer; 1.1 Introduction; 1.2 Arbitrage-free valuation and replicating portfolios; 1.3 Replicating portfolios for derivatives; 1.3.1 Linear derivatives; 1.3.2 Nonlinear derivatives; 1.4 No-arbitrage and pricing; 1.4.1 Univariate claims; 1.4.2 Multivariate claims; 1.5 The structuring process; 1.5.1 The basic objects; 1.5.2 Risk factors, moments and dimensions; 1.5.3 Risk management; 1.6 A tale of two bonds; 1.6.1 Contingent coupons and repayment plans; 1.6.2 Exposure to the risky asset; 1.6.3 Exposure to volatility; 1.6.4 Hedging
1.7 Structured finance and object-oriented programmingReferences and further reading; 2 Object-Oriented Programming; 2.1 Introduction; 2.2 What is OOP (object-oriented programming)?; 2.3 Analysis and design; 2.3.1 A simple example; 2.4 Modelling; 2.4.1 The Unified Modelling Language (UML); 2.4.2 An object-oriented programming language: Java; 2.5 Main ideas about OOP; 2.5.1 Abstraction; 2.5.2 Classes; 2.5.3 Attributes and operations: the Encapsulation principle; 2.5.4 Responsibilities; 2.5.5 Inheritance; 2.5.6 Abstract classes; 2.5.7 Associations; 2.5.8 Message exchanging; 2.5.9 Collections 2.5.10 PolymorphismReferences and further reading; 3 Volatility and Correlation; 3.1 Introduction; 3.2 Volatility and correlation: models and measures; 3.2.1 Implied information; 3.2.2 Parametric models; 3.2.3 Realized (cross)moments; 3.3 Implied probability; 3.4 Volatility measures; 3.4.1 Implied volatility; 3.4.2 Parametric volatility models; 3.4.3 Realized volatility; 3.5 Implied correlation; 3.5.1 Forex markets implied correlation; 3.5.2 Equity "average" implied correlation; 3.5.3 Credit implied correlation; 3.6 Historical correlation; 3.6.1 Multivariate GARCH 3.6.2 Dynamic correlation model3.7 Copula functions; 3.7.1 Copula functions: the basics; 3.7.2 Copula functions: examples; 3.7.3 Copulas and survival copulas; 3.7.4 Copula dualities; 3.8 Conditional probabilities; 3.9 Non-parametric measures; 3.10 Tail dependence; 3.11 Correlation asymmetry; 3.11.1 Correlation asymmetry: finance; 3.11.2 Correlation asymmetry: econometrics; 3.12 Non-exchangeable copulas; 3.13 Estimation issues; 3.14 Lévy processes; References and further reading; 4 Cash Flow Design; 4.1 Introduction; 4.2 Types of bonds; 4.2.1 Floaters and reverse floaters 4.2.2 Convertible bonds4.2.3 Equity-linked notes; 4.2.4 Inflation-linked bonds; 4.2.5 Asset-backed securities; 4.3 Time and scheduler issues; 4.3.1 Payment date conventions; 4.3.2 Day count conventions and accrual factors; 4.4 JScheduler; 4.4.1 Date handling in Java; 4.4.2 Data models; 4.4.3 Design patterns; 4.4.4 The Factory Method pattern; 4.5 Cash flow generator design; 4.5.1 UML's activity diagram; 4.5.2 An important guideline to the data model for derivatives: FpML; 4.5.3 UML's sequence diagram; 4.6 The cleg class; References and further reading; 5 Convertible Bonds; 5.1 Introduction 5.2 Object-oriented structuring process |
| Record Nr. | UNINA-9910830759303321 |
|
Cherubini Umberto
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Structured finance : the object oriented approach / / Umberto Cherubini, Giovanni Della Lunga
| Structured finance : the object oriented approach / / Umberto Cherubini, Giovanni Della Lunga |
| Autore | Cherubini Umberto |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (300 p.) |
| Disciplina | 332.63/27 |
| Altri autori (Persone) | Della LungaGiovanni |
| Collana | Wiley finance series |
| Soggetto topico |
Structured notes (Securities)
Derivative securities Investment analysis - Mathematical models Financial engineering |
| ISBN |
9786610856046
9781119209263 1119209269 9781280856044 1280856041 9780470512722 0470512725 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Structured Finance; Contents; 1 Structured Finance: A Primer; 1.1 Introduction; 1.2 Arbitrage-free valuation and replicating portfolios; 1.3 Replicating portfolios for derivatives; 1.3.1 Linear derivatives; 1.3.2 Nonlinear derivatives; 1.4 No-arbitrage and pricing; 1.4.1 Univariate claims; 1.4.2 Multivariate claims; 1.5 The structuring process; 1.5.1 The basic objects; 1.5.2 Risk factors, moments and dimensions; 1.5.3 Risk management; 1.6 A tale of two bonds; 1.6.1 Contingent coupons and repayment plans; 1.6.2 Exposure to the risky asset; 1.6.3 Exposure to volatility; 1.6.4 Hedging
1.7 Structured finance and object-oriented programmingReferences and further reading; 2 Object-Oriented Programming; 2.1 Introduction; 2.2 What is OOP (object-oriented programming)?; 2.3 Analysis and design; 2.3.1 A simple example; 2.4 Modelling; 2.4.1 The Unified Modelling Language (UML); 2.4.2 An object-oriented programming language: Java; 2.5 Main ideas about OOP; 2.5.1 Abstraction; 2.5.2 Classes; 2.5.3 Attributes and operations: the Encapsulation principle; 2.5.4 Responsibilities; 2.5.5 Inheritance; 2.5.6 Abstract classes; 2.5.7 Associations; 2.5.8 Message exchanging; 2.5.9 Collections 2.5.10 PolymorphismReferences and further reading; 3 Volatility and Correlation; 3.1 Introduction; 3.2 Volatility and correlation: models and measures; 3.2.1 Implied information; 3.2.2 Parametric models; 3.2.3 Realized (cross)moments; 3.3 Implied probability; 3.4 Volatility measures; 3.4.1 Implied volatility; 3.4.2 Parametric volatility models; 3.4.3 Realized volatility; 3.5 Implied correlation; 3.5.1 Forex markets implied correlation; 3.5.2 Equity "average" implied correlation; 3.5.3 Credit implied correlation; 3.6 Historical correlation; 3.6.1 Multivariate GARCH 3.6.2 Dynamic correlation model3.7 Copula functions; 3.7.1 Copula functions: the basics; 3.7.2 Copula functions: examples; 3.7.3 Copulas and survival copulas; 3.7.4 Copula dualities; 3.8 Conditional probabilities; 3.9 Non-parametric measures; 3.10 Tail dependence; 3.11 Correlation asymmetry; 3.11.1 Correlation asymmetry: finance; 3.11.2 Correlation asymmetry: econometrics; 3.12 Non-exchangeable copulas; 3.13 Estimation issues; 3.14 Lévy processes; References and further reading; 4 Cash Flow Design; 4.1 Introduction; 4.2 Types of bonds; 4.2.1 Floaters and reverse floaters 4.2.2 Convertible bonds4.2.3 Equity-linked notes; 4.2.4 Inflation-linked bonds; 4.2.5 Asset-backed securities; 4.3 Time and scheduler issues; 4.3.1 Payment date conventions; 4.3.2 Day count conventions and accrual factors; 4.4 JScheduler; 4.4.1 Date handling in Java; 4.4.2 Data models; 4.4.3 Design patterns; 4.4.4 The Factory Method pattern; 4.5 Cash flow generator design; 4.5.1 UML's activity diagram; 4.5.2 An important guideline to the data model for derivatives: FpML; 4.5.3 UML's sequence diagram; 4.6 The cleg class; References and further reading; 5 Convertible Bonds; 5.1 Introduction 5.2 Object-oriented structuring process |
| Record Nr. | UNINA-9911020025403321 |
|
Cherubini Umberto
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Structured products and related credit derivatives [[electronic resource] ] : a comprehensive guide for investors / / Brian P. Lancaster, Glenn M. Schultz, Frank J. Fabozzi
| Structured products and related credit derivatives [[electronic resource] ] : a comprehensive guide for investors / / Brian P. Lancaster, Glenn M. Schultz, Frank J. Fabozzi |
| Autore | Lancaster Brian P |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2008 |
| Descrizione fisica | 1 online resource (545 p.) |
| Disciplina |
332.632044
332.6457 |
| Altri autori (Persone) |
SchultzGlenn M
FabozziFrank J |
| Collana | Frank J. Fabozzi series |
| Soggetto topico |
Structured notes (Securities)
Credit derivatives |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-19783-X
1-281-38182-9 9786611381820 0-470-36923-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investors; Contents; Foreword; Acknowledgments; About the Editors; Contributing Authors; Section I: Background; Chapter 1: Introduction; Chapter 2: Structured Finance Operating Companies: SIVs, SLVs, and Other Structured Vehicles; STRUCTURED FINANCE OPERATING COMPANY DEFINED; TYPES OF STUCTURED FINANCE OPERATING COMPANIES; STRUCTURED INVESTMENT VEHICLES; SLVs AND HYBRID SLVs; THE RISK HISTORY OF SFOCs TO 2006; THE 2007 LIQUIDITY CRISIS; CONCLUSION; Section II: Consumer ABS
Chapter 3: Residential Asset-Backed SecuritiesOVERVIEW OF THE MARKET; COLLATERAL PERFORMANCE; VOLUNTARY REPAYMENT; ADJUSTABLE RATE REPAYMENT ANALYSIS; INTEREST-ONLY REPAYMENT ANALYSIS; FIXED RATE REPAYMENT ANALYSIS; OTHER FACTORS INFLUENCING VOLUNTARY REPAYMENT; COLLATERAL CREDIT PERFORMANCE; INVOLUNTARY REPAYMENT (DEFAULT); OTHER FACTORS INFLUENCING INVOLUNTARY REPAYMENT RATES; STRUCTURAL CONSIDERATIONS; ASSET-BACKED CREDIT DEFAULT SWAPS; ABX.HE INDEX; SUMMARY; Chapter 4: Credit Card ABS; CREDIT CARD SECURITIZATION BACKGROUND; CREDIT CARD ABS STRUCTURES; SUMMARY Chapter 5: Auto Asset-Backed SecuritiesISSUANCE; STRUCTURE; ISSUER COLLATERAL PROFILE; COLLATERAL PERFORMANCE; DELINQUENCY AND LOSS RATES; VALUATION; AUTO LEASES; SUMMARY; Chapter 6: Student Loan ABS; BACKGROUND; TYPES OF LOANS; LOAN STATUS; INTEREST RATES; PREPAYMENTS; ISSUANCE; TYPICAL BOND STRUCTURES; RISKS; CHARACTERISTICS OF STUDENT LOAN ABS; SUMMARY; Chapter 7: Small Business Loan ABS; SMALL BUSINESS ADMINISTRATION; SBA 7(a) LOAN GUARANTEE PROGRAM; SBA 7(a) LOAN CHARACTERISTICS; SECURITIZATION OF UNGUARANTEED PORTIONS OF SBA 7(a) LOANS SECURITIZATION OF CONVENTIONAL SMALL BUSINESS LOANSSMALL BUSINESS LOAN LOSS PERFORMANCE ON SBA 7(a) LOANS-BANCLAB LLC DATA; SUMMARY; Chapter 8: Valuation of Subprime ABS Credit Default Swaps; CREDIT DEFAULT SWAPS; PAY-AS-YOU-GO CDS STRUCTURE FOR SUBPRIME ABS; INTEREST SHORTFALL CONSIDERATIONS; STEPPING UP; PHYSICAL SETTLEMENT; HEDGING WITH CREDIT DEFAULT SWAPS; ZERO MONEY DOWN!; CDS PRICES VERSUS CASH BOND PRICES; PRICING WHEN THE CDS SPREAD EQUALS THE REFERENCE COUPON SPREAD; HEDGING WITH NO MONEY DOWN; THE VALUE OF SCENARIO ANALYSIS; HOW ARE MORTGAGE POOL SCENARIOS CREATED?; SUMMARY Section III: Collateralized Debt ObligationsChapter 9: Basics of CDOs; A BRIEF HISTORY OF CDOs; CDO BASICS; PARTICIPANTS IN A CDO TRANSACTION; CDO PURPOSES; CDO STRUCTURES; CDO LIFE CYCLE; EMBEDDED CALLS; COVERAGE TESTS; SPECIAL TRIGGERS: PAR PRESERVATION AND TURBO FEATURES; CASH FLOW CDO WATERFALL; QUALITY TESTS; SPECIAL RIGHTS FOR THE CONTROLLING CLASS; CDO CASH SOURCES AND USES; CDO TRUTHS, HALF-TRUTHS, AND MYTHS; Chapter 10: CDOs by Asset Type; CONSTRUCTING THE CDO PORTFOLIO; COLLATERALIZED LOAN OBLIGATIONS AND SPECULATIVE-GRADE CORPORATE COLLATERAL; LEVERAGED LOANS AS COLLATERAL ABS CDOs |
| Record Nr. | UNINA-9910143825603321 |
|
Lancaster Brian P
|
||
| Hoboken, N.J., : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Structured products and related credit derivatives [[electronic resource] ] : a comprehensive guide for investors / / Brian P. Lancaster, Glenn M. Schultz, Frank J. Fabozzi
| Structured products and related credit derivatives [[electronic resource] ] : a comprehensive guide for investors / / Brian P. Lancaster, Glenn M. Schultz, Frank J. Fabozzi |
| Autore | Lancaster Brian P |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2008 |
| Descrizione fisica | 1 online resource (545 p.) |
| Disciplina |
332.632044
332.6457 |
| Altri autori (Persone) |
SchultzGlenn M
FabozziFrank J |
| Collana | Frank J. Fabozzi series |
| Soggetto topico |
Structured notes (Securities)
Credit derivatives |
| ISBN |
1-119-19783-X
1-281-38182-9 9786611381820 0-470-36923-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investors; Contents; Foreword; Acknowledgments; About the Editors; Contributing Authors; Section I: Background; Chapter 1: Introduction; Chapter 2: Structured Finance Operating Companies: SIVs, SLVs, and Other Structured Vehicles; STRUCTURED FINANCE OPERATING COMPANY DEFINED; TYPES OF STUCTURED FINANCE OPERATING COMPANIES; STRUCTURED INVESTMENT VEHICLES; SLVs AND HYBRID SLVs; THE RISK HISTORY OF SFOCs TO 2006; THE 2007 LIQUIDITY CRISIS; CONCLUSION; Section II: Consumer ABS
Chapter 3: Residential Asset-Backed SecuritiesOVERVIEW OF THE MARKET; COLLATERAL PERFORMANCE; VOLUNTARY REPAYMENT; ADJUSTABLE RATE REPAYMENT ANALYSIS; INTEREST-ONLY REPAYMENT ANALYSIS; FIXED RATE REPAYMENT ANALYSIS; OTHER FACTORS INFLUENCING VOLUNTARY REPAYMENT; COLLATERAL CREDIT PERFORMANCE; INVOLUNTARY REPAYMENT (DEFAULT); OTHER FACTORS INFLUENCING INVOLUNTARY REPAYMENT RATES; STRUCTURAL CONSIDERATIONS; ASSET-BACKED CREDIT DEFAULT SWAPS; ABX.HE INDEX; SUMMARY; Chapter 4: Credit Card ABS; CREDIT CARD SECURITIZATION BACKGROUND; CREDIT CARD ABS STRUCTURES; SUMMARY Chapter 5: Auto Asset-Backed SecuritiesISSUANCE; STRUCTURE; ISSUER COLLATERAL PROFILE; COLLATERAL PERFORMANCE; DELINQUENCY AND LOSS RATES; VALUATION; AUTO LEASES; SUMMARY; Chapter 6: Student Loan ABS; BACKGROUND; TYPES OF LOANS; LOAN STATUS; INTEREST RATES; PREPAYMENTS; ISSUANCE; TYPICAL BOND STRUCTURES; RISKS; CHARACTERISTICS OF STUDENT LOAN ABS; SUMMARY; Chapter 7: Small Business Loan ABS; SMALL BUSINESS ADMINISTRATION; SBA 7(a) LOAN GUARANTEE PROGRAM; SBA 7(a) LOAN CHARACTERISTICS; SECURITIZATION OF UNGUARANTEED PORTIONS OF SBA 7(a) LOANS SECURITIZATION OF CONVENTIONAL SMALL BUSINESS LOANSSMALL BUSINESS LOAN LOSS PERFORMANCE ON SBA 7(a) LOANS-BANCLAB LLC DATA; SUMMARY; Chapter 8: Valuation of Subprime ABS Credit Default Swaps; CREDIT DEFAULT SWAPS; PAY-AS-YOU-GO CDS STRUCTURE FOR SUBPRIME ABS; INTEREST SHORTFALL CONSIDERATIONS; STEPPING UP; PHYSICAL SETTLEMENT; HEDGING WITH CREDIT DEFAULT SWAPS; ZERO MONEY DOWN!; CDS PRICES VERSUS CASH BOND PRICES; PRICING WHEN THE CDS SPREAD EQUALS THE REFERENCE COUPON SPREAD; HEDGING WITH NO MONEY DOWN; THE VALUE OF SCENARIO ANALYSIS; HOW ARE MORTGAGE POOL SCENARIOS CREATED?; SUMMARY Section III: Collateralized Debt ObligationsChapter 9: Basics of CDOs; A BRIEF HISTORY OF CDOs; CDO BASICS; PARTICIPANTS IN A CDO TRANSACTION; CDO PURPOSES; CDO STRUCTURES; CDO LIFE CYCLE; EMBEDDED CALLS; COVERAGE TESTS; SPECIAL TRIGGERS: PAR PRESERVATION AND TURBO FEATURES; CASH FLOW CDO WATERFALL; QUALITY TESTS; SPECIAL RIGHTS FOR THE CONTROLLING CLASS; CDO CASH SOURCES AND USES; CDO TRUTHS, HALF-TRUTHS, AND MYTHS; Chapter 10: CDOs by Asset Type; CONSTRUCTING THE CDO PORTFOLIO; COLLATERALIZED LOAN OBLIGATIONS AND SPECULATIVE-GRADE CORPORATE COLLATERAL; LEVERAGED LOANS AS COLLATERAL ABS CDOs |
| Record Nr. | UNINA-9910829833103321 |
|
Lancaster Brian P
|
||
| Hoboken, N.J., : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
