Written by industry participants, regulators and academics active within the market, this title aids the reader in understanding developments in the pricing, rating and risk management of structured products as well as the related regulatory issues. It concludes with an analysis of the Basel proposals as they relate to structured exposures.
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Editorial Reviews
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"A valuable resource and guidebook to better understanding the intricacies of the innovative and fast-growing structured product market." -- Dr. Scott-Christopher Rankin, Senior Vice President, Bond Market Association Int'l and Head of the European Securitisation Forum
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Inside This Book
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First Sentence:
Modern credit risk management has identified the adequate modelling of dependency in credit portfolios as one of the most important and pressing issues to be addressed. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
downgrade rate, loss prioritisation, securitisation exposures, tranche returns, securitisation tranches, securitised pool, tail copula, upgrade rates, collateral portfolio, rating transition matrices, par value test, regular asset, total notches, thin tranches, empirical copula, structured finance securities, downgrade returns, retail pools, joint default probability, excess spread, copula model, basket credit derivatives, tail dependence, mezzanine notes, given tranche Key Phrases - Capitalized Phrases (CAPs): (learn more)
Merrill Lynch, Portfolio Risk Tracker, Basel Committee, Monte Carlo, Ratings Caa, Asia Pacific, Banking Supervision, Fitch Ratings, Beta Mean, Risk Books, Unrated Unrated, Journal of Finance, Technical Report, Bank Supervision, Lehman Brothers, New York, Quant Group, Financial Analysts Journal, Journal of Fixed Income, Asset Securitisations, Dexia Group, Five-year Ratings, Limiting Loan Loss Probability Distribution, Moody's Investors Service Special Comment, Quantitative Finance New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Modern credit risk management has identified the adequate modelling of dependency in credit portfolios as one of the most important and pressing issues to be addressed. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
downgrade rate, loss prioritisation, securitisation exposures, tranche returns, securitisation tranches, securitised pool, tail copula, upgrade rates, collateral portfolio, rating transition matrices, par value test, regular asset, total notches, thin tranches, empirical copula, structured finance securities, downgrade returns, retail pools, joint default probability, excess spread, copula model, basket credit derivatives, tail dependence, mezzanine notes, given tranche Key Phrases - Capitalized Phrases (CAPs): (learn more)
Merrill Lynch, Portfolio Risk Tracker, Basel Committee, Monte Carlo, Ratings Caa, Asia Pacific, Banking Supervision, Fitch Ratings, Beta Mean, Risk Books, Unrated Unrated, Journal of Finance, Technical Report, Bank Supervision, Lehman Brothers, New York, Quant Group, Financial Analysts Journal, Journal of Fixed Income, Asset Securitisations, Dexia Group, Five-year Ratings, Limiting Loan Loss Probability Distribution, Moody's Investors Service Special Comment, Quantitative Finance New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 17
books:
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- Credit Derivatives: Applications for Risk Management by Euromoney Books on page 83, page 213, and page 260
- Credit Ratings: Methodologies, Rationale and Default Risk by Michael K. Ong on page 243, and page 362
- An Introduction to Copulas (Springer Series in Statistics) by Roger B. Nelsen on page 33, and page 260
- Handbook of Heavy Tailed Distributions in Finance, Volume 1: Handbooks in Finance, Book 1 by S.T Rachev on page 33
- The New Science by Robert Campbell on page 32
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