UID:
almafu_9959328373802883
Format:
1 online resource (xvi, 334 pages) :
,
illustrations
Edition:
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2011.
ISBN:
9780470392744
,
0470392746
,
9781118267165
,
1118267168
Series Statement:
The Frank J. Fabozzi series
Content:
Authors Goodman, Zimmerman, Lucas, and Fabozzi offer managers in this market the best in up-to-date information and cutting-edge strategies for minimizing risk in their mortgage credit derivative portfolios. Broken up into four parts, this book covers 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 Loss Projection and Security Valuation (ABX valuation, ABS CDO valuation, subprime and Alt-A lo.
Note:
Includes index.
,
Cover -- Contents -- Preface -- About the Authors -- Part I: Mortgage Credit -- Chapter 1: Overview of the Nonagency Mortgage Market -- ISSUANCE VOLUMES -- ROOTS OF THE 2007- 2008 SUBPRIME CRISIS -- DEFINING CHARACTERISTICS OF NONAGENCY MORTGAGES -- LOAN CHARACTERISTICS -- RISK LAYERING -- AGENCY VERSUS NONAGENCY EXECUTION -- SUMMARY -- Chapter 2: First Lien Mortgage Credit -- CONCEPTS AND MEASUREMENTS OF MORTGAGE CREDIT -- COLLATERAL CHARACTERISTICS AND MORTGAGE CREDIT: ASSAULT OF THE FOUR Cs IN 2006 (CREDIT, COLLATERAL, CAPACITY, AND CHARACTER) -- THE END GAME: FORECLOSURE, REO TIMELINE, AND SEVERITY -- THE ROLE OF UNOBSERVABLE IN 2006 SUBPRIME MORTGAGE CREDIT -- Chapter 3: Second Lien Mortgage Credit -- TWO TYPES OF SECONDS -- HIGHER RISKS IN SECONDS -- RECENT PERFORMANCE -- WHY HIGHER LOSSES? -- SUMMARY -- Part II: Mortgage Securitizations -- Chapter 4: Features of Excess Spread/Overcollateralization -- EXCESS SPREAD-BASED CREDIT ENHANCEMENT -- OC IN ALT-A-LAND -- OC INTERNAL WORKINGS -- SUMMARY -- Chapter 5: Subprime Triggers and Step-Downs -- THE STEP-DOWN AND THE TRIGGER -- BBB STACK (ON THE KNIFE'S EDGE) -- EFFECT OF TRIGGERS AND THE LOSS WATERLINE -- SAMPLING THE SUBPRIME UNIVERSE -- 2000- 2003 DEAL STEP-DOWN SUMMARY -- STEP-DOWN AND CREDIT EFFECTS -- SUMMARY -- Part III: Credit Default Swaps on Mortgage Securities -- Chapter 6: Introduction to Credit Default Swap on ABS CDS -- CORPORATE CDS FUNDAMENTALS AND TERMINOLOGY -- DIFFERENCES BETWEEN CORPORATE CDS AND ABS CDS -- DIFFICULTIES IN ABS CDS -- ABS CDS EFFECT ON ABS CDO MANAGEMENT -- TWO NEW TYPES OF ABS CDOs -- SUMMARY -- Chapter 7: The ABX and TABX Indices -- BACKGROUND -- HOW A DEAL GETS INTO THE INDEX -- INDEX MECHANICS -- INDEX PRICING OVER TIME -- ABX TRANCHE TRADING -- TABX PRICING -- TABX VERSUS CDOs -- SUMMARY -- Chapter 8: Relationship among Cash, ABCDS, and the ABX -- FUNDAMENTAL CONTRACTUAL DIFFERENCES: SINGLE-NAME ABCDS/ABX INDEX/CASH -- SUPPLY/DEMAND TECHNICALS -- WHAT KEEPS THE ARBITRAGE FROM GOING AWAY? -- SUMMARY -- APPENDIX: IMPORTANCE OF ABCDS TO CDO MANAGERS -- Chapter 9: Credit Default Swaps on CDOs -- CDO CDS NOMENCLATURE -- CDO CREDIT PROBLEMS AND THEIR CONSEQUENCES -- ALTERNATIVE INTEREST CAP OPTIONS -- MISCELLANEOUS TERMS -- CASH CDO VERSUS CDO CDS -- EXITING A CDO CDS -- RATING AGENCY CONCERNS ON CDOs THAT SELL PROTECTION VIA CDO CDS -- SUMMARY -- Part IV: Loss Projection and Security Valuation -- Chapter 10: Loss Projection for Subprime, Alt-A, and Second Lien Mortgages -- TWO WAYS OF PROJECTING LOSS -- DEFAULT TIMING -- STEPS IN PREDICTING COLLATAL LOSSES -- PROS AND CONS OF THE DEFAULT TIMING CURVE -- HISTORICAL MODEL FIT VERSUS ACTUAL -- DEFAULT TIMING IS NOT EQUAL TO LOSS TIMING -- AN ALTERNATIVE SPECIFICATION -- ALT-A AND CLOSED-END SECONDS -- SUMMARY -- Chapter 11: Valuing the ABX -- REVIEW OF BASIC VALUATION FOR ABX INDICES -- REVIEW OF VALUATION APPROACHES -- ECONOMETRIC APPROACH -- ABX VALUATION -- THE "SIMPLE" OR DO-IT-YOURSELF APPROACH TO ABX VALUATION -- ABX AFTER SUBPRIME SHUTDOWN -- SUMMARY -- APPENDIX: RESULTS OF ORIGINAL " BASE" PRICING (AND NUMBER OF BONDS WRITTEN DOWN) AND THE NEW " SHUTDOWN" ESTIMATES -- Chap.
,
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Additional Edition:
Print version: Subprime mortgage credit derivatives. Hoboken, N.J. : John Wiley & Sons, ©2008 ISBN 9780470243664
Additional Edition:
ISBN 047024366X
Language:
English
Subjects:
Economics
Keywords:
Electronic books.
;
Statistics.
;
Electronic books.
;
Statistics.
;
Electronic books.
;
Statistics.
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118267165
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118267165
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118267165
Bookmarklink
