Subprime Mortgage Credit Derivatives
(Sprache: Englisch)
Mortgage credit derivatives are a risky business, especially of late.
Leider schon ausverkauft
versandkostenfrei
Buch
35.95 €
Produktdetails
Produktinformationen zu „Subprime Mortgage Credit Derivatives “
Mortgage credit derivatives are a risky business, especially of late.
Klappentext zu „Subprime Mortgage Credit Derivatives “
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 subprime triggers), credit default swaps on mortgage securities (ABX, cash synthetic relationships, CDO credit default swaps), and much more. In addition, the authors outline the origins of the subprime crisis, showing how during the 2004 2006 period, as housing became less affordable, origination standards were stretched and when home price appreciation then turned to home price depreciation, defaults and delinquencies rose across the board. The recent growth in subprime lending, along with a number of other industry factors, has made the demand for timely knowledge and solutions greater than ever before, and this guide contains the information financial professionals need to succeed in this challenging field.
Inhaltsverzeichnis zu „Subprime Mortgage Credit Derivatives “
- Preface- About The Authors
Part One
- Mortgage Credit
- Chapter 1. Overview Of The Non-Agency Mortgage Market
- Issuance Volumes
- Roots Of The 2007-2008 Subprime Crisis
- Defining Characteristics Of Non-Agency Mortgages
- Loan Characteristics
- Risk Layering
- Agency Versus Non-Agency 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 Severity
- The 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 Two. 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 Stepdowns
- The Stepdown And The Trigger
- BBB Stack (On The Knife's Edge)
- Effect Of Triggers And The Loss Waterline
- Sampling The Subprime Universe
- 2000-2003 Deal Stepdown Summary
- Stepdown And Credit Effects
- Summary
Part Three. 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 Pricing
- TABX 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
... mehr
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 Four. Loss Projection And Security Valuation
- Chapter 10. Loss Projection For Subprime, Alt-A, And Second Lien Mortgages
- Two Ways Of Projecting Loss
- Default Timing
- Steps In Predicting Collateral 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
- Summary
- Appendix: Results Of Original "Base" Pricing (And Number Of Bonds Written Down) And The New "Shutdown" Estimates
- Chapter 12. ABS CDO Losses And Valuation
- The Mortgage Loan-Mortgage Bond-ABS CDO Chain
- Mortgage Deal Losses
- Subprime Mortgage Bond Losses
- Alt-A, Second Lien, And Prime Mortgage Bond Losses
- Aggregating Mortgage Bond Losses In 2006-7 Mezzanine ABS Cdos
- Aggregating Mortgage Bond Losses In 2005 Mezzanine ABS Cdos
- Drivers Of CDO Losses And The Role Of The Manager
- ABS CDO Valuation And CDO Structure
- Summary
- Section Five. Subprime Meltdown
- Chapter 13. The Great Subprime Meltdown Of 2007
- An Earlier Subprime Crisis
- The Virtuous Cycle
- Early-Pay Defaults: The First Hint Things Were Changing
- The 2006 Conundrum
- Banking Regulators: Not Too Little But Too Late
- Who Will Rescue The Subprime Borrower?
- Is Securitization The Villain?
- Lack Of Transparency
- Spillover
- Future For Subprime
- Index
- 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 Four. Loss Projection And Security Valuation
- Chapter 10. Loss Projection For Subprime, Alt-A, And Second Lien Mortgages
- Two Ways Of Projecting Loss
- Default Timing
- Steps In Predicting Collateral 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
- Summary
- Appendix: Results Of Original "Base" Pricing (And Number Of Bonds Written Down) And The New "Shutdown" Estimates
- Chapter 12. ABS CDO Losses And Valuation
- The Mortgage Loan-Mortgage Bond-ABS CDO Chain
- Mortgage Deal Losses
- Subprime Mortgage Bond Losses
- Alt-A, Second Lien, And Prime Mortgage Bond Losses
- Aggregating Mortgage Bond Losses In 2006-7 Mezzanine ABS Cdos
- Aggregating Mortgage Bond Losses In 2005 Mezzanine ABS Cdos
- Drivers Of CDO Losses And The Role Of The Manager
- ABS CDO Valuation And CDO Structure
- Summary
- Section Five. Subprime Meltdown
- Chapter 13. The Great Subprime Meltdown Of 2007
- An Earlier Subprime Crisis
- The Virtuous Cycle
- Early-Pay Defaults: The First Hint Things Were Changing
- The 2006 Conundrum
- Banking Regulators: Not Too Little But Too Late
- Who Will Rescue The Subprime Borrower?
- Is Securitization The Villain?
- Lack Of Transparency
- Spillover
- Future For Subprime
- Index
... weniger
Autoren-Porträt von Laurie S. Goodman, Thomas A. Zimmerman, Douglas J. Lucas
LAURIE S. GOODMAN, PhD, is a Managing Director at UBS Warburg and Head of the U.S. Securitized Products Strategy Group. She is responsible for research on the full range of securitized products-RMBS, ABS, CMBS, and CDOs. Dr. Goodman has worked on Wall Street for twenty years and is very well regarded by the investor community, having won more 1 slots on the Institutional Investor All-American Fixed-Income Research Team than any other analyst. She earned a doctorate in economics from Stanford University in 1978.
Bibliographische Angaben
- Autoren: Laurie S. Goodman , Thomas A. Zimmerman , Douglas J. Lucas
- 2008, 1. Auflage., XVI, 334 Seiten, Maße: 23,8 cm, Gebunden, Englisch
- By Laurie S. Goodman, Shumin Li, Douglas J. Lucas et al.
- Verlag: Wiley & Sons
- ISBN-10: 047024366X
- ISBN-13: 9780470243664
Sprache:
Englisch
Kommentar zu "Subprime Mortgage Credit Derivatives"
0 Gebrauchte Artikel zu „Subprime Mortgage Credit Derivatives“
Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
---|
Schreiben Sie einen Kommentar zu "Subprime Mortgage Credit Derivatives".
Kommentar verfassen