Analysis of structured securities, the: precise risk measurement and capital allocation
Auteur :
Raynes, Sylvain / Rutledge, Ann
Éditeur :
Oxford University Press Inc
ISBN :
9780195152739
Date de publication :
23 oct. 2003
Dimensions :
23,9 x 16,5 x 2,6 cm
Poids :
794 g
Langue :
Anglais
Pays d'origine :
USA
Presents a defensible framework for systematic assessment of the credit quality of structured securities. This book begins with a critique of methods used to rate asset-backed securities, collateralized debt obligations and asset-backed commercial paper. Then, it proposes a single replacement paradigm capable of granular results.