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The analysis of structured securities : precise risk measurement and capital allocation / Sylvain Raynes and Ann Rutledge.
- Format:
- Book
- Author/Creator:
- Raynes, Sylvain, author.
- Series:
- Oxford scholarship online.
- Oxford scholarship online
- Language:
- English
- Subjects (All):
- Securities.
- Asset-backed financing.
- Mortgage-backed securities.
- Investment analysis.
- Physical Description:
- 1 online resource (462 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Oxford : Oxford University Press, 2023.
- Language Note:
- English
- Summary:
- 'The Analysis of Structured Securities' rigorously critiques the use of corporate credit analytic methods in structured finance, & proposes an alternative, cashflow-based portfolio approach grounded in financial theory & statistical mechanics.
- Contents:
- Contents; 1 Market Basics; 2 To Rate A Tabula Rasa; 3 The Actuarial Method; 4 The Default Method; 5 The Eclectic Method; 6 Toward a Science of Ratings; 7 Dynamic Asset Analysis; 8 Liabilities Analysis and Structuring; 9 The Average Life of Assets and Liabilities; 10 PACs and TACs; 11 The Art of Mathematical Modeling; 12 Statistical Probability Density Functions; 13 Eigenvalues and Eigenvectors; 14 Markov Chains; 15 Regression Analysis; 16 Lower-Upper Decomposition; 17 Covariance Matrix Simulation; 18 The Newton-Raphson Nonlinear Optimization Method; 19 Tchebychev Polynomials
- 20 Automobile Receivable Securitizations21 CDOs of ABS; 22 Aircraft Receivable Securitizations; 23 Trigger Theory; Concluding Remarks; Appendices; Appendix A: Numerical Experiments in Random Number Generation; Appendix B: The Physics of Markov Chains; Appendix C: The Markov Property and the Efficient Market Hypothesis; Appendix D: An Example of Nonlinear Regression; Appendix E: The Symmetry and Nonnegative Definiteness of Two Special Matrices; Appendix F: Convergence Analysis for the Newton-Raphson Optimization Method; Appendix G: Spline Function Interpolations; Appendix H: Correlation Topics
- NotesIndex; A; B; C; D; E; F; G; H; I; J; K; L; M; N; O; P; Q; R; S; T; U; V; W; Y
- Notes:
- Previously issued in print: 2003.
- Includes bibliographical references and index.
- Derived record based on print version record and publisher information.
- ISBN:
- 0-19-770248-1
- 0-19-988236-3
- 1-280-65531-3
- 0-19-803483-0
- 1-4237-7751-4
- OCLC:
- 476026674
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