ISBN The Analysis of Structured Securities ( Precise Risk Measurement and Capital Allocation ) English

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.