The Handbook of Structured Finance / Edition 1

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Overview

Stay On Top of Every Major Issue in the Structured Finance Market

and Learn Powerful New Models for Identifying, Measuring, Pricing, and Monitoring Your Deals

The Handbook of Structured Finance is a complete guide to the

major issues facing investors in the structured finance market.

Comprehensive and accessible, it provides the latest techniques

for measuring and managing risk, finding optimum pricing, and

taking advantage of leverage and market incompleteness, as well

as models for debt and equity modeling.

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Product Details

  • ISBN-13: 9780071468640
  • Publisher: McGraw-Hill Professional Publishing
  • Publication date: 1/22/2007
  • Edition description: 1ST
  • Edition number: 1
  • Pages: 500
  • Product dimensions: 6.30 (w) x 9.10 (h) x 1.94 (d)

Meet the Author

Arnaud de Servigny is head of Quantitative Analytics for Standard & Poor's.

Norbert Jobst is head of Portfolio

Research in Structured Finance for Standard & Poor’s.

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Table of Contents


Introduction     v
Overview of the Structured Credit Markets   Alexander Batchvarov     1
Univariate Risk Assessment   Arnaud de Servigny   Sven Sandow     29
Univariate Credit Risk Pricing   Arnaud de Servigny   Philippe Henrotte     91
Modeling Credit Dependency   Arnaud de Servigny     137
Rating Migration and Assset Correlation   Astrid Van Landschoot   Norbert Jobst     217
CDO Pricing   Arnaud de Servigny     239
An Introduction to the CDO Risk Management   Norbert Jobst     295
A Practical Guide to CDO Trading Risk Management   Andrea Petrelli   Jun Zhang   Norbert Jobst   Vivek Kapoor     339
Cash and Synthetic CDOs   Olivier Renault     373
The CDO Methodologies Developed   Standard and Poor's     397
Recent and Not So Recent Developments in Synthetic CDOs   Norbert Jobst     465
Residential Mortgage-Backed Securities   Varqa Khadem   Francis Parisi     543
Covered Bonds   Arnaud de Servigny   Aymeric Chauve     593
An Overview of Structured Investment Vehicles and Other SpecialPurpose Companies   Cristina Polizu     621
Securitizations in Basel II   William Perraudin     675
Secritization in the Context of Basel II   Arnaud de Servigny     697
Biographies     759
Index     765
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