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  1. Subprime mortgage credit derivatives
    Published: c2008
    Publisher:  John Wiley & Sons, Hoboken, N.J

    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... more

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    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
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    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
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    Location:
    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
    Inter-library loan:
    No inter-library loan

     

    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 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

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 047024366X; 9780470243664
    Other identifier:
    RVK Categories: QK 510 ; QT 370 ; QK 660
    Series: The Frank J. Fabozzi series
    Subjects: Subprime mortgage loans; Secondary mortgage market; Subprime mortgage loans
    Scope: Online-Ressource (xvi, 334 p), ill, 24 cm
    Notes:

    Includes index

    Electronic reproduction; Available via World Wide Web

    Subprime Mortgage Credit Derivatives; 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 SEVERITYTHE 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: The Principle Subprime Structure; 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 WATERLINESAMPLING 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 PRICINGTABX 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 ValuationChapter 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

    CoverContents -- 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.