The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation

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The Analysis of Structured Securities presents the first intellectually defensible framework for systematic assessment of the credit quality of structured securities. 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. It offers extensive guidance on using numerical methods in cash flow modeling, as well as a ...

The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation 2003, Oxford University Press, USA, Oxford, England

ISBN-13: 9780195152739

Hardcover

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