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

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Listed:
  • Raynes, Sylvain
  • Rutledge, Ann

Abstract

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.

Suggested Citation

  • Raynes, Sylvain & Rutledge, Ann, 2003. "The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation," OUP Catalogue, Oxford University Press, number 9780195152739.
    • Handle: RePEc:oxp:obooks:9780195152739
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    Cited by:

    1. Bank for International Settlements, 2005. "The role of ratings in structured finance: issues and implications," CGFS Papers, Bank for International Settlements, number 23, december.
    2. Lejot , Paul & Arner, Douglas & Schou-Zibell, Lotte, 2008. "Securitization in East Asia," Working Papers on Regional Economic Integration 12, Asian Development Bank.
    3. Paul Lejot & Douglas Arner & Liu Qiao, 2004. "Making Markets: Reforms to Strengthen Asia's Debt Capital Markets," Working Papers 132004, Hong Kong Institute for Monetary Research.

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