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Synthetic Cdos

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Synthetic Cdos

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Author : Craig Mounfield
language : en
Publisher: Cambridge University Press
Release Date : 2009

Synthetic Cdos written by Craig Mounfield and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Business & Economics categories.

Details the latest models and techniques in quantitative and computational modelling of synthetic Collateralised Debt Obligations.

Pricing And Risk Management Of Synthetic Cdos

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Author : Anna Schlösser
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-02-04

Pricing And Risk Management Of Synthetic Cdos written by Anna Schlösser and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-04 with Business & Economics categories.

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.

Collateralized Debt Obligations

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Author : Douglas J. Lucas
language : en
Publisher: John Wiley & Sons
Release Date : 2006-05-05

Collateralized Debt Obligations written by Douglas J. Lucas 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 2006-05-05 with Business & Economics categories.

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.

Collateralized Debt Obligations And Structured Finance

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Author : Janet M. Tavakoli
language : en
Publisher: John Wiley & Sons
Release Date : 2004-03-29

Collateralized Debt Obligations And Structured Finance written by Janet M. Tavakoli 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 2004-03-29 with Business & Economics categories.

The most cutting-edge read on CDO and credit market structures Collateralized Debt Obligations and Structured Finance provides a state-of-the-art look at the exploding CDO and structured credit products market. Financial expert Janet Tavakoli examines securitization topics never before seen in print, including the huge increase in the CDO arbitrage created by synthetics; the tranches most at risk from this new technology; dumping securitizations on bank balance sheets; the abuse of offshore vehicles by companies such as Enron; and securitizations made possible by new securitization techniques and the introduction of the Euro. This valuable guide comprehensively covers one of the fastest growing markets on Wall Street, predicting where new bank regulations and other developments may lead to product growth or product extinction. While providing an overview of the market and its dynamic growth, Collateralized Debt Obligations and Structured Finance explores the types of products offered, hedging techniques, and valuation and risk/return issues associated with investment in CDOs and synthetic CDOs. Janet M. Tavakoli, MBA (Chicago, IL), has over eighteen years of experience trading, structuring, and marketing derivatives and structured products with major financial institutions in New York and London. She is also the author of Credit Derivatives and Synthetic Structures, now in its Second Edition (0-471-41266-X).

Collateralized Debt Obligations

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Author : Douglas J. Lucas
language : en
Publisher: John Wiley & Sons
Release Date : 2006-08-04

Securitization

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Author : Vinod Kothari
language : en
Publisher: John Wiley & Sons
Release Date : 2006-06-16

Securitization written by Vinod Kothari 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 2006-06-16 with Business & Economics categories.

Get a thorough explanation of the nuances of securitization in the global business market with this comprehensive resource. Synthetic securitization and structured products are revolutionizing the financial industry and changing the way banks, institutional investors, and securities traders do business both domestically and globally. Written by a top international trainer and expert on securitization, this book is an ideal way for all market practitioners, whether investors, bankers, or analysts, to ensure they understand the ins and outs of this practice.

Investing In Collateralized Debt Obligations

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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2001-05-15

Investing In Collateralized Debt Obligations 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 2001-05-15 with Business & Economics categories.

The fastest growing sector of the asset-backed securities market is the collateralized debt obligation (CDO) market. CDOs are securities backed by a pool of diversified assets and are referred to as collateralized bond obligations (CBOs) when the underlying assets are bonds and as collateralized loan obligations (CLOs) when the underlying assets are bank loans. Investing in Collateralized Debt Obligations covers not only the fundamental features of these securities and the investment characteristics that make them attractive to a broad range of institutional investors, but also the tools for identifying relative value. Nearly a dozen of today's best known analysts discuss emerging market CBOs, relative value frameworks, pricing strategies and techniques, and more.

The Handbook Of Fixed Income Securities Chapter 31 Synthetic Cdos

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Author : Frank Fabozzi
language : en
Publisher: McGraw Hill Professional
Release Date : 2005-04-15

The Handbook Of Fixed Income Securities Chapter 31 Synthetic Cdos written by Frank Fabozzi and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-04-15 with Business & Economics categories.

From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.

Corporate Bonds And Structured Financial Products

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Author : Moorad Choudhry
language : en
Publisher: Elsevier
Release Date : 2004-06-08

Corporate Bonds And Structured Financial Products written by Moorad Choudhry and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-06-08 with Business & Economics categories.

This book is a detailed account of the instruments that are used in the corporate bond markets, from conventional "plain vanilla" bonds to hybrid instruments and structured products. There is background information on bond pricing and yield, as well as a detailed look at the yield curve. The book covers the full set of instruments used by companies to raise finance, and which are aimed at a wide range of investors. It also discusses the analysis of these instruments. Topics covered include:*Bond basics*The yield curve*Callable bonds*Convertible bonds*Eurobonds*Warrants*Commercial paper*Corporate bonds credit analysis*Securitisation*Asset-backed securities*Mortgage-backed securities*Collateralised Debt Obligations*Synthetic CDOsWritten by one of the leading names in the fixed income markets today, this book should prove to be an invaluable reference guide for all those with an interest in corporate bond markets, whether as practitioners, consultants or researchers.* Covers every major aspect of corporate credit markets* Features bond instruments as well as aspects of bond analysis* Covers conventional bonds as well as securitisation and structured financial products

Financial Engineering

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Author : Tanya S. Beder
language : en
Publisher: John Wiley & Sons
Release Date : 2011-05-16

Financial Engineering written by Tanya S. Beder 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 2011-05-16 with Business & Economics categories.

FINANCIAL ENGINEERING Financial engineering is poised for a great shift in the years ahead. Everyone from investors and borrowers to regulators and legislators will need to determine what works, what doesn't, and where to go from here. Financial Engineering part of the Robert W. Kolb Series in Finance has been designed to help you do just this. Comprised of contributed chapters by distinguished experts from industry and academia, this reliable resource will help you focus on established activities in the field, developing trends and changes, as well as areas of opportunity. Divided into five comprehensive parts, Financial Engineering begins with an informative overview of the discipline, chronicling its complete history and profiling potential career paths. From here, Part II quickly moves on to discuss the evolution of financial engineering in major markets fixed income, foreign exchange, equities, commodities and credit and offers important commentary on what has worked and what will change. Part III then examines a number of recent innovative applications of financial engineering that have made news over the past decade such as the advent of securitized and structured products and highly quantitative trading strategies for both equities and fixed income. Thoughts on how risk management might be retooled to reflect what has been learned as a result of the recent financial crisis are also included. Part IV of the book is devoted entirely to case studies that present valuable lessons for active practitioners and academics. Several of the cases explore the risk that has instigated losses across multiple markets, including the global credit crisis. You'll gain in-depth insights from cases such as Countrywide, Société Générale, Barings, Long-Term Capital Management, the Florida Local Government Investment Pool, AIG, Merrill Lynch, and many more. The demand for specific and enterprise risk managers who can think outside the box will be substantial during this decade. Much of Part V presents new ways to be successful in an era that demands innovation on both sides of the balance sheet. Chapters that touch upon this essential topic include Musings About Hedging; Operational Risk; and The No-Arbitrage Condition in Financial Engineering: Its Use and Mis-Use. This book is complemented by a companion website that includes details from the editors' survey of financial engineering programs around the globe, along with a glossary of key terms from the book. This practical guide puts financial engineering in perspective, and will give you a better idea of how it can be effectively utilized in real- world situations.

Synthetic Cdos

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