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

Hardcover | September 10, 2003

bySylvain Raynes, Ann Rutledge

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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 usingnumerical 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.

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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...

Sylvain Raynes and Ann Rutledge are the Founding Principles of R and 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,...
Format:HardcoverDimensions:464 pages, 6.42 × 9.29 × 1.18 inPublished:September 10, 2003Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0195152735

ISBN - 13:9780195152739

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Table of Contents

Preface and DedicationPart I: The Contemporary Framework1. Market Basics2. To Rate A Tabula Rasa3. The Actuarial Method4. The Default-Based ("CDO") Method5. The Eclectic MethodEndnotes to Part IPart II: Analyzing Structured Securities6. Towards A Science of Ratings7. Dynamic Asset Analysis8. Liabilites Analysis and Structuring9. The Average Life of Assets and Liabilities10. PACs and TACsEndnotes to Part IIPart III: Applications of Numerical Methods to Structured Finance11. The Art of Mathematical Modeling12. Statistical Probability Density Functions13. Eigenvalues and Eigenvectors14. Markov Chains15. Regression Analysis16. Lower-Upper (LU) Decomposition17. Covariance Matrix Simulation18. The Newton-Raphson Nonlinear Optimization Method19. Tchebychev PolynomialsConcluding Remarks and Endnotes to Part IIIPart IV: Case Studies20. Automobile Receivable Securitizations21. CBOs of ABS22. Aircraft Receivable SecuritizationsEndnotes to Part IVPart V: Trigger Theory23. Advanced Structural Features: TriggersConcluding RemarksAppendices

Editorial Reviews

"Much has been written about structured finance and rating, but nothing compares to this truly unique book by Raynes and Rutledge. To my surprise, I could not put it down, as each chapter beckoned of more to come. The authors lay out solutions to the practical problem of rating debtsecurities in the structured finance context. This book is a "must read" for anyone involved in structured finance. In light of the recent market failure, securities rating is indeed of interest to many investors. In fact, this book offers fascinating reading to anyone interested in the ways we seekto predict the future." --Tamar Frankel, Professor of Law, Boston University Law School