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

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 groundbreaking section on trigger optimization. Casework on applying the method to automobile ABS, CDOs-of-ABS and aircraft-lease securitizations is also presented.
This book is essential reading for practitioners who seek higher precision, efficiency and control in managing their structured exposures.

Author: Sylvain Raynes, Ann Rutledge
Publisher: Oxford University Press, USA
Published: 09/25/2003
Pages: 464
Binding Type: Hardcover
Weight: 1.75lbs
Size: 9.42h x 6.48w x 1.02d
ISBN: 9780195152739

About the Author

Sylvain Raynes and Ann Rutledge are the Founding Principles of R & R Consulting, a structured finance consultancy dedicated to advising issuers, investors, intermediaries, non-profit corporations, and regulatory bodies in credit risk management and structured financial techniques using fine-grained analytical methods. In July 2001, their paper Measures of Credit Losses: A Precise Method for Calculating Risk-adjusted Return on capital was selected for presentation by the IAFE.

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