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Download or read book Pricing Synthetic CDO Tranche on ABS Asset written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yan Li
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (855 download)
Download or read book Pricing Synthetic CDO Tranche on ABS. written by Yan Li and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Laurie S. Goodman
Publisher : John Wiley & Sons
ISBN 13 : 0471445614
Total Pages : 386 pages
Book Rating : 4.4/5 (714 download)
Download or read book Collateralized Debt Obligations written by Laurie S. Goodman and published by John Wiley & Sons. This book was released on 2002-11-25 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical guide to the features and investment characteristics of CDOs In the bond area, collateralized debt obligations, which include collateralized bond obligations and collateralized loan obligations, are the fastest-growing sector. Collateralized Debt Obligations: Structures and Analysis describes the various products in this area-cash flow CDOs, market value CDOs, synthetic CDOs, etc.-and explains how to evaluate them. With this book as their guide, investment managers and institutional investors alike will learn how to analyze the risks associated with CDOs, create a portfolio of CDO products, and assess trading opportunities in the secondary market.
Author : Sunyoung Park
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (13 download)
Download or read book Anatomy of ABS CDO written by Sunyoung Park and published by . This book was released on 2013 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the ABS CDOs (Asset-Backed Security Collateralized Debt Obligations) market between 2005 and 2007 and answers the question of why ABS CDOs exist. The dataset used in this paper contains 516 ABS CDOs, 4,023 CDO tranches, and 79,724 securities used as the collateral of ABS CDOs. Using detailed collateral information on ABS CDOs, I find that there is a large re-securitization rate distinction between AAA- and non AAA-rated tranches. Less than 1% of AAA-rated subprime MBS tranches were used as collateral for cash flow ABS CDOs. In contrast, more than half of non AAA-rated subprime tranches were re-securitized through cash flow CDO.I also show that the reference portfolio of synthetic CDOs consists to a large degree of BBB rated subprime mortgage backed securities. As a notional amount, $94 billion out of $172 billion, which was the total collateral amount of synthetic CDOs, was comprised of BBB-rated subprime MBS tranches. It is evident that the synthetic CDO market deteriorated due to short demand in the housing sector, but there is no evidence that the cash flow ABS CDO market deteriorated between 2005 and 2007.
Author : Jens Bender
Publisher : GRIN Verlag
ISBN 13 : 3638406881
Total Pages : 74 pages
Book Rating : 4.6/5 (384 download)
Download or read book Increasing computational speed in pricing single tranche CDOs written by Jens Bender and published by GRIN Verlag. This book was released on 2005-08-07 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2005 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 95%, Frankfurt School of Finance & Management, language: English, abstract: In recent years enormous write offs in bank’s credit portfolios stimulated the demand for products that allow for an active trading of credit risk within the field of capital management. Securitization is a tool to reduce credit risk embedded on balance sheets. Thereby various assets are pooled in a portfolio that serves as collateral for issued notes. These asset backed securities (ABS) were initially aimed to securitize mainly mortgage and consumer loans of financial institutions in the early 1980s (Tavakoli [50]). A collateralized debt obligation (CDO) is a type of ABS that was first set up to securitize junk bonds (below investment grade investments) in the late 1980s (Moore [41]). The growing demand for securitizing credit risk during the 1990s led to a tremendous rise in CDO issuance which was further stimulated by the introduction of synthetic CDOs whose portfolios consists of credit derivatives such as credit default swaps (CDS). In 2003 the CDO issuance volume was USD 94 billion, a rise of 27% compared to 2002.
Author : Anna Schlösser
Publisher : Springer Science & Business Media
ISBN 13 : 3642156096
Total Pages : 274 pages
Book Rating : 4.6/5 (421 download)
Download or read book Pricing and Risk Management of Synthetic CDOs written by Anna Schlösser and published by Springer Science & Business Media. This book was released on 2011-02-04 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and measurement applications involving the generation of scenarios for the complete universe of risk factors and the inclusion of CDO structures in a portfolio context. For this objective, it is especially important to have a computationally fast model that can also be used in a scenario simulation framework. The well known Gaussian copula model is extended in various ways in order to improve its drawbacks of correlation smile and time inconsistency. Also the application of the large homogeneous cell assumption, that allows to differentiate between rating classes, makes the model convenient and powerful for practical applications. The Crash-NIG extension introduces an important regime-switching feature allowing the possibility of a market crash that is characterized by a high-correlation regime.
Author : Douglas J. Lucas
Publisher : John Wiley & Sons
ISBN 13 : 0470151390
Total Pages : 304 pages
Book Rating : 4.4/5 (71 download)
Download or read book Developments in Collateralized Debt Obligations written by Douglas J. Lucas and published by John Wiley & Sons. This book was released on 2007-07-27 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developments In Collateralized Debt Obligations The fastest growing sector of the fixed income market is the market for collateralized debt obligations (CDOs). Fostered by the development of credit default swaps (CDS) on all types of indexes of corporate bonds, emerging market bonds, commercial loans, and structured products, new products are being introduced into this market with incredible speed. In order to keep up with this dynamic market and its various instruments, you need a guide that provides you with the most up-to-date information available. That's why Douglas Lucas, Laurie Goodman, Frank Fabozzi, and Rebecca Manning have created Developments in Collateralized Debt Obligations. Filled with in-depth insights regarding new products, like hybrid assets in ABS CDOs and trust preferred CDOs, and detailed discussions on important issues-such as the impact of CDOs on underlying collateral markets-this book will bring you completely up to speed on essential developments in this field. Written in a straightforward and accessible style, Developments in Collateralized Debt Obligations will enhance your understanding of this ever-evolving market-and its numerous products.
Author : Douglas J. Lucas
Publisher : John Wiley & Sons
ISBN 13 : 0471718874
Total Pages : 533 pages
Book Rating : 4.4/5 (717 download)
Download or read book Collateralized Debt Obligations written by Douglas J. Lucas and published by John Wiley & Sons. This book was released on 2006-05-05 with total page 533 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since first edition's publication, the CDO market has seen tremendous growth. As of 2005, $1.1 trillion of CDOs were outstanding -- making them the fastest-growing investment vehicle of the last decade. To help you keep up with this expanding market and its various instruments, Douglas Lucas, Laurie Goodman, and Frank Fabozzi have collaborated to bring you this fully revised and up-to-date new edition of Collateralized Debt Obligations. Written in a clear and accessible style, this valuable resource provides critical information regarding the evolving nature of the CDO market. You'll find in-depth insights gleaned from years of investment and credit experience as well as the examination of a wide range of issues, including cash CDOs, loans and CLOs, structured finance CDOs and collateral review, emerging market and market value CDOs, and synthetic CDOs. Use this book as your guide and take advantage of this dynamic market and its products.
Author : Richard Sowers
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (129 download)
Download or read book Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I written by Richard Sowers and published by . This book was released on 2009 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use the theory of large deviations to study the pricing of investment-grade tranches of synthetic CDO's. In this paper, we consider a simplified model which will allow us to introduce some of the concepts and calculations.
Author : Alexander Herbertsson
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (213 download)
Download or read book Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-analytic Approach written by Alexander Herbertsson and published by . This book was released on 2007 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Arnaud de Servigny
Publisher : McGraw Hill Professional
ISBN 13 : 0071715762
Total Pages : 28 pages
Book Rating : 4.0/5 (717 download)
Download or read book The Handbook of Structured Finance, Chapter 9 - Cash and Synthetic CDOs written by Arnaud de Servigny and published by McGraw Hill Professional. This book was released on 2007-01-22 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter comes from the book The Handbook of Structured Finance, 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.
Author : Frederic Soustra
Publisher :
ISBN 13 :
Total Pages : 178 pages
Book Rating : 4.:/5 (17 download)
Download or read book Pricing of Synthetic CDO Tranches, Analysis of Base Correlations and an Introduction to Dynamic Copulas written by Frederic Soustra and published by . This book was released on 2006 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jean-David Fermanian
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Top-Down Approach for MBS, ABS and CDO of ABS written by Jean-David Fermanian and published by . This book was released on 2010 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We define a new approach to manage prepayment, default and interest rate risks simultaneously in some standard asset-backed securities structures. We propose a parsimonious top-down approach, by modeling directly the portfolio loss process and the amortization process. Both are correlated to interest rates. The methodology is specified for sequential- and pro-rata pay bonds (ABS, CMO, CDO of ABS), cash or synthetic. We prove analytical formulas to price all tranches, under and without the simplifying assumption that amortization occurs in the most senior tranche only. The model behavior is illustrated through the empirical analysis of an actual synthetic ABS trade.
Author : George M. Constantinides
Publisher : Newnes
ISBN 13 : 0444594736
Total Pages : 873 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of the Economics of Finance written by George M. Constantinides and published by Newnes. This book was released on 2013-02-08 with total page 873 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive. Offers analyses by top scholars of recent asset pricing scholarship Explains how the 2008 financial crises affected theoretical and empirical research Covers core and newly developing fields
Author : Brian P. Lancaster
Publisher : John Wiley & Sons
ISBN 13 : 047036923X
Total Pages : 545 pages
Book Rating : 4.4/5 (73 download)
Download or read book Structured Products and Related Credit Derivatives written by Brian P. Lancaster and published by John Wiley & Sons. This book was released on 2008-06-20 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: Filled with the insights of numerous experienced contributors, Structured Products and Related Credit Derivatives takes a detailed look at the various aspects of structured assets and credit derivatives. Written over a period spanning the greatest bull market in structured products history to arguably its most challenging period, this reliable resource will help you identify the opportunities and mitigate the risks in this complex financial market.
Author : George M. Constantinides
Publisher : Newnes
ISBN 13 : 0444594655
Total Pages : 1732 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of the Economics of Finance SET:Volumes 2A & 2B written by George M. Constantinides and published by Newnes. This book was released on 2013-01-21 with total page 1732 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons. Covers core and newly-developing fields Explains how the 2008 financial crises affected theoretical and empirical research Exposes readers to a wide range of subjects described and analyzed by the best scholars
Author : United States. Congress. Senate. Committee on Homeland Security and Governmental Affairs. Permanent Subcommittee on Investigations
Publisher :
ISBN 13 :
Total Pages : 1856 pages
Book Rating : 4.:/5 (53 download)
Download or read book Wall Street and the Financial Crisis: pt. 1-4. Anatomy of a Financial Collapse, April 13, 2011. Report and Appendix ( 4 v.) written by United States. Congress. Senate. Committee on Homeland Security and Governmental Affairs. Permanent Subcommittee on Investigations and published by . This book was released on 2010 with total page 1856 pages. Available in PDF, EPUB and Kindle. Book excerpt:
