Introduction

The Analysis of Structured Securities presents the first intellectually defensible framework for systematic assessment of the credit quality of structured securities.

Content Overview

It begins with a detailed description and critique of methods used to rate asset-backed securities, collateralized debt obligations and asset-backed commercial paper. The book then proposes a single replacement paradigm capable of granular, dynamic results.

Guidance and Applications

It offers extensive guidance on using numerical methods in cash flow modeling, as well as a groundbreaking section on trigger optimization. Casework on applying the method to automobile ABS, CDOs-of-ABS and aircraft-lease securitizations is also presented.

Target Audience

This book is essential reading for practitioners who seek higher precision, efficiency and control in managing their structured exposures.