Subprime Mortgage Credit Derivatives
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Subprime Mortgage Credit Derivatives
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Author : Laurie S. Goodman
language : en
Publisher: John Wiley & Sons
Release Date : 2008-06-02
Subprime Mortgage Credit Derivatives written by Laurie S. Goodman and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-06-02 with Business & Economics categories.
Mortgage credit derivatives are a risky business, especially of late. Written by an expert author team of UBS practitioners-Laurie Goodman, Shumin Li, Douglas Lucas, and Thomas Zimmerman-along with Frank Fabozzi of Yale University, Subprime Mortgage Credit Derivatives covers state-of-the-art instruments and strategies for managing a portfolio of mortgage credits in today's volatile climate. Divided into four parts, this book addresses a variety of important topics, including mortgage credit (non-agency, first and second lien), mortgage securitizations (alternate structures and subprime triggers), credit default swaps on mortgage securities (ABX, cash synthetic relationships, CDO credit default swaps), and much more. In addition, the authors outline the origins of the subprime crisis, showing how during the 2004-2006 period, as housing became less affordable, origination standards were stretched-and when home price appreciation then turned to home price depreciation, defaults and delinquencies rose across the board. The recent growth in subprime lending, along with a number of other industry factors, has made the demand for timely knowledge and solutions greater than ever before, and this guide contains the information financial professionals need to succeed in this challenging field.
Structured Products And Related Credit Derivatives
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Author : Brian P. Lancaster
language : en
Publisher: John Wiley & Sons
Release Date : 2008-06-20
Structured Products And Related Credit Derivatives written by Brian P. Lancaster and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-06-20 with Business & Economics categories.
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.
Us Subprime Crisis To What Extent Can You Safeguard Financial System Risks
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Author : L. H. Jansen
language : en
Publisher: GRIN Verlag
Release Date : 2008
Us Subprime Crisis To What Extent Can You Safeguard Financial System Risks written by L. H. Jansen and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Seminar paper from the year 2008 in the subject Economics - Finance, grade: 1,7, University of Applied Sciences Essen, course: General Economics, 94 entries in the bibliography, language: English, abstract: The subprime mortgage financial crisis is an ongoing financial crisis which was caused by the sharp rise in the US subprime mortgage market that began in the United States in fall 2006 and became to a global financial crisis in July 2007. Rising interest rates increased the monthly payments on newly-popular adjustable rate mortgages and property values suffered declines from the demise of the US housing bubble, leaving home owners unable to meet financial commitments and lenders without a means on their losses. Many observers believe this has resulted in a severe credit crunch, threatening the solvency of a number of financial institutions and marginal banks. Declines in stock markets worldwide, several worthless hedge funds, central bank interventions, contractions of retail profits and bankruptcy of several mortgage lenders are some of the results we saw in this subprime crisis. The crisis was caused by several reasons, e. g. the developments on the US housing market, the insolvency of many American loan takers, the absence of appropriate diligence of the financial institutions and within the created financial assets, the delayed intervention of the regulating authorities and the activities of the rating agencies while evaluating the credit derivatives and securitizations. The theoretical optimum for an investment is a high return without any risk and without loosing liquidity. The real situation shows that an investor has to match these three points optimal for his own investment strategy. A higher return is always linked to a higher risk and increased uncertainty. And if the money is expended the investor looses a part of his liquidity. Credit derivatives and securitizations are used to separate the risk of credits from the original credit relation. These in
Betting On Failure
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Author : Craig Furfine
language : en
Publisher:
Release Date : 2017
Betting On Failure written by Craig Furfine and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Business & Economics, Investments & Securities, Real Estate categories.
In October 2008, in the midst of a financial crisis, Anthony Keating, investment manager at the Boston private bank Billingsley, Blaylock, and Montgomery, was searching for an investment strategy to recommend to his high-net-worth clients. Traditional investments in the equity markets were being decimated, and Keating's clients would be looking to him for ideas. Inspired by the success of Paulson and Co., Keating began to explore the possibility of entering a trade that would profit as homeowners defaulted on their mortgages. The more Keating learned about the trade, the more he realized that he needed to know about mortgage-backed securities and credit default swaps. The case provides instructors with a chance to introduce these financial instruments, while at the same time providing lessons applicable to students interested in value investing or real estate finance. After reading and analyzing the case, students will be able to: - Explain how home mortgages are securitized into financial instruments that are traded in public markets - Describe how credit default swaps can be used to speculate on the value of an underlying financial instrument - Identify potential mispricing across related financial instruments - Understand the potential risks and rewards of various financial investment strategies that look to capitalize on defaults on subprime mortgages.
Understanding The Securitization Of Subprime Mortgage Credit
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Author : Adam B. Ashcraft
language : en
Publisher: DIANE Publishing
Release Date : 2010-03
Understanding The Securitization Of Subprime Mortgage Credit written by Adam B. Ashcraft and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03 with categories.
Provides an overview of the subprime mortgage securitization process and the seven key informational frictions that arise. Discusses the ways that market participants work to minimize these frictions and speculate on how this process broke down. Continues with a complete picture of the subprime borrower and the subprime loan, discussing both predatory borrowing and predatory lending. Presents the key structural features of a typical subprime securitization, documents how rating agencies assign credit ratings to mortgage-backed securities, and outlines how these agencies monitor the performance of mortgage pools over time. The authors draw upon the example of a mortgage pool securitized by New Century Financial during 2006. Illustrations.
Us Subprime And Financial Crisis To What Extent Can You Safeguard Financial System Risks
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Author : Leo H. Jansen
language : de
Publisher: Grin Publishing
Release Date : 2009-08
Us Subprime And Financial Crisis To What Extent Can You Safeguard Financial System Risks written by Leo H. Jansen and has been published by Grin Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-08 with categories.
Research Paper (postgraduate) from the year 2008 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, University of applied sciences, Neuss, course: General Economics, language: English, abstract: The subprime mortgage financial crisis is an ongoing financial crisis which was caused by the sharp rise in the US subprime mortgage market that began in the United States in fall 2006 and became to a global financial crisis in July 2007. Rising interest rates increased the monthly payments on newly-popular adjustable rate mortgages and property values suffered declines from the demise of the US housing bubble, leaving home owners unable to meet financial commitments and lenders without a means on their losses. Many observers believe this has resulted in a severe credit crunch, threatening the solvency of a number of financial institutions and marginal banks. Declines in stock markets worldwide, several worthless hedge funds, central bank interventions, contractions of retail profits and bankruptcy of several mortgage lenders are some of the results we saw in this subprime crisis. The crisis was caused by several reasons, e. g. the developments on the US housing market, the insolvency of many American loan takers, the absence of appropriate diligence of the financial institutions and within the created financial assets, the delayed intervention of the regulating authorities and the activities of the rating agencies while evaluating the credit derivatives and securitizations. The theoretical optimum for an investment is a high return without any risk and without loosing liquidity. The real situation shows that an investor has to match these three points optimal for his own investment strategy. A higher return is always linked to a higher risk and increased uncertainty. And if the money is expended the investor looses a part of his liquidity. Credit derivatives and securitizations are used to separate the risk of credits from the
Mastering Credit Derivatives
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Author : Andrew Kasapis
language : en
Publisher: Pearson UK
Release Date : 2013-10-03
Mastering Credit Derivatives written by Andrew Kasapis and has been published by Pearson UK this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-03 with Business & Economics categories.
This second edition of Mastering Credit Derivatives has been completely revised to include new movements in the world of finance. The first part of the book is set aside as a condensed, updated version of the previous edition whereas the next two thirds are dedicated to recent innovations such as Structured Credit Derivatives and Greeks and Tranche Sensitivity. The book is written on a purely ‘need to know’ basis, avoiding the archaic, theoretical and excessively mathematical concepts. Input from market practitioners offers valuable insight into where they believe the market is headed in the future. Derivatives is a huge area, thought to be worth trillions of pounds. With new products being constantly introduced, it is important to keep up-to-date with its rapid growth.
Credit Risk Mitgatition Evidence From The French Credit Derivative Market
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Author : Laura Navick
language : en
Publisher:
Release Date : 2014-12-10
Credit Risk Mitgatition Evidence From The French Credit Derivative Market written by Laura Navick and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-10 with categories.
This thesis provides four methodologies for estimating risk-neutral default probabilities. First, by using the Hull-White (2000) approach relying on bond prices. Secondly, by bootstrapping hazard rates from CDS spreads through the JP Morgan (1999) model, whilst assuming a piecewise constant hazard rate function. Thirdly, by applying Hull and White's (2003) framework, while supposing a piecewise constant credit event probability density function. Finally, the hypothesis of a piecewise linear default probability distribution is examined instead. Additionally, this study will apply the Hull-White (2000) spread formula for the valuation process of CDSs and will thus offer an additional application to a theoretical framework that suffers from a lack of tangible data EXAMPLES. This is operated in the case of the payoff being contingent on default by one reference entity only and an absence of counterparty default risk. All aforementioned models are tested with real market data on five firms belonging to the French STOCK MARKET (the CAC40). Theoretical CDS spreads are calculated for various maturities (from 1-10 years), 4th July 2014 being the study's starting point. Results are satisfactory: theoretical and market CDS spreads share comparable levels; yet, Hull and White's framework tends to overestimate CDS spreads when compared with quoted ones in the short term. However, an inherent limit to the model remains: the latter is built on rather stringent assumptions, making it unable to adjust to some real-life situations where parameters deviate from these suppositions.
Cds Delivery Option
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Author : David Boberski
language : en
Publisher: John Wiley & Sons
Release Date : 2010-05-13
Cds Delivery Option written by David Boberski and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-05-13 with Business & Economics categories.
For traders trying to navigate the increasingly volatile credit default swap market, CDS Delivery Option provides worked-out examples, over 30 charts, a case study of Delphi, and detailed explanations of how the subprime crisis caused the credit crisis and the near collapse of the GSEs. The book includes detailed information on: how to value a CDS contract how to value the delivery option how contract value changes when the yield curve flattens or becomes steeper how contract value changes with bullish or bearish market moves how to figure out when to buy protection and when to sell protection how to hedge CDS risk when and how to unwind a contract prior to settlement when to hold a trade through delivery how to navigate a "squeeze" (when the notional value of contracts going through delivery is larger than the supply of the cheapest-to-deliver issue) when buying contracts can make their prices go down how to construct a basis trade how to find arbitrage opportunities how to analyze default probability and corporate debt when to settle via auction and when to settle via physical delivery which note is the cheapest to deliver This book is an indispensable resource for all market professionals working in the CDS market.
Introduction To Securitization
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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2008-07-15
Introduction To Securitization written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-07-15 with Business & Economics categories.
Introduction to Securitization outlines the basics of securitization, addressing applications for this technology to mortgages, collateralized debt obligations, future flows, credit cards, and auto loans. The authors present a comprehensive overview of the topic based on the experience they have gathered through years of interaction with practitioners and graduate students around the world. The authors offer coverage of such key topics as: structuring agency MBS deals and nonagency deals, credit enhancements and sizing, using interest rate derivatives in securitization transactions, asset classes securitized, operational risk factors, implications for financial markets, and applying securitization technology to CDOs. Finally, in the appendices, the authors provide an essential introduction to credit derivatives, an explanation of the methodology for the valuation of MBS/ABS, and the estimation of interest rate risk. Securitization is a financial technique that pools assets together and, in effect, turns them into a tradable security. The end result of a securitization transaction is that a corporation can obtain proceeds by selling assets and not borrowing funds. In real life, many securitization structures are quite complex and enigmatic for practitioners, investors, and finance students. Typically, books detailing this topic are either too lengthy, too technical, or too superficial in their presentation. Introduction to Securitization is the first to offer essential information on this topic at a fundamental, yet comprehensive level-providing readers with a working understanding of what has become one of today's most important areas of finance. Authors Frank Fabozzi and Vinod Kothari, internationally recognized experts in the field, clearly define securitization, contrast it with corporate finance, and explain its advantages. They carefully illustrate the structuring of asset-backed securities (ABS) transactions, including agency mortgage-backed securities (MBS) deals and nonagency deals, and show the use of credit enhancements and interest rate derivatives in such transactions. They review the collateral classes in ABS, such as retail loans, credit cards, and future flows, and discuss ongoing funding vehicles such as asset-backed commercial paper conduits and other structured vehicles. And they explain the different types of collateralized debt obligations (CDOs) and structured credit, detailing their structuring and analysis. To complement the discussion, an introduction to credit derivatives is also provided. The authors conclude with a close look at securitization's impact on the financial markets and the economy, with a review of the now well-documented problems of the securitization of one asset class: subprime mortgages. While questions about the contribution of securitization have been tainted by the subprime mortgage crisis, it remains an important process for corporations, municipalities, and government entities seeking funding. The significance of this financial innovation is that it has been an important form of raising capital for corporations and government entities throughout the world, as well as a vehicle for risk management. Introduction to Securitization offers practitioners and students a simple and comprehensive entry into the interesting world of securitization and structured credit.