Subprime mortgage credit derivatives /
Authors Goodman, Zimmerman, Lucas, and Fabozzi offer managers in this market the best in up-to-date information and cutting-edge strategies for minimizing risk in their mortgage credit derivative portfolios. Broken up into four parts, this book covers topics including, Mortgage Credit (non-agency, f...
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Other Authors: | |
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Format: | Electronic eBook |
Language: | English |
Published: |
Hoboken, N.J. :
John Wiley & Sons,
?2008.
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Series: | Frank J. Fabozzi series.
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Subjects: | |
Online Access: | Full text (Wentworth users only) |
Table of Contents:
- Cover
- Contents
- Preface
- About the Authors
- Part I: Mortgage Credit
- Chapter 1: Overview of the Nonagency Mortgage Market
- ISSUANCE VOLUMES
- ROOTS OF THE 2007- 2008 SUBPRIME CRISIS
- DEFINING CHARACTERISTICS OF NONAGENCY MORTGAGES
- LOAN CHARACTERISTICS
- RISK LAYERING
- AGENCY VERSUS NONAGENCY EXECUTION
- SUMMARY
- Chapter 2: First Lien Mortgage Credit
- CONCEPTS AND MEASUREMENTS OF MORTGAGE CREDIT
- COLLATERAL CHARACTERISTICS AND MORTGAGE CREDIT: ASSAULT OF THE FOUR Cs IN 2006 (CREDIT, COLLATERAL, CAPACITY, AND CHARACTER)
- THE END GAME: FORECLOSURE, REO TIMELINE, AND SEVERITY
- THE ROLE OF UNOBSERVABLE IN 2006 SUBPRIME MORTGAGE CREDIT
- Chapter 3: Second Lien Mortgage Credit
- TWO TYPES OF SECONDS
- HIGHER RISKS IN SECONDS
- RECENT PERFORMANCE
- WHY HIGHER LOSSES?
- SUMMARY
- Part II: Mortgage Securitizations
- Chapter 4: Features of Excess Spread/Overcollateralization
- EXCESS SPREAD-BASED CREDIT ENHANCEMENT
- OC IN ALT-A-LAND
- OC INTERNAL WORKINGS
- SUMMARY
- Chapter 5: Subprime Triggers and Step-Downs
- THE STEP-DOWN AND THE TRIGGER
- BBB STACK (ON THE KNIFE'S EDGE)
- EFFECT OF TRIGGERS AND THE LOSS WATERLINE
- SAMPLING THE SUBPRIME UNIVERSE
- 2000- 2003 DEAL STEP-DOWN SUMMARY
- STEP-DOWN AND CREDIT EFFECTS
- SUMMARY
- Part III: Credit Default Swaps on Mortgage Securities
- Chapter 6: Introduction to Credit Default Swap on ABS CDS
- CORPORATE CDS FUNDAMENTALS AND TERMINOLOGY
- DIFFERENCES BETWEEN CORPORATE CDS AND ABS CDS
- DIFFICULTIES IN ABS CDS
- ABS CDS EFFECT ON ABS CDO MANAGEMENT
- TWO NEW TYPES OF ABS CDOs
- SUMMARY
- Chapter 7: The ABX and TABX Indices
- BACKGROUND
- HOW A DEAL GETS INTO THE INDEX
- INDEX MECHANICS
- INDEX PRICING OVER TIME
- ABX TRANCHE TRADING
- TABX PRICING
- TABX VERSUS CDOs
- SUMMARY
- Chapter 8: Relationship among Cash, ABCDS, and the ABX
- FUNDAMENTAL CONTRACTUAL DIFFERENCES: SINGLE-NAME ABCDS/ABX INDEX/CASH
- SUPPLY/DEMAND TECHNICALS
- WHAT KEEPS THE ARBITRAGE FROM GOING AWAY?
- SUMMARY
- APPENDIX: IMPORTANCE OF ABCDS TO CDO MANAGERS
- Chapter 9: Credit Default Swaps on CDOs
- CDO CDS NOMENCLATURE
- CDO CREDIT PROBLEMS AND THEIR CONSEQUENCES
- ALTERNATIVE INTEREST CAP OPTIONS
- MISCELLANEOUS TERMS
- CASH CDO VERSUS CDO CDS
- EXITING A CDO CDS
- RATING AGENCY CONCERNS ON CDOs THAT SELL PROTECTION VIA CDO CDS
- SUMMARY
- Part IV: Loss Projection and Security Valuation
- Chapter 10: Loss Projection for Subprime, Alt-A, and Second Lien Mortgages
- TWO WAYS OF PROJECTING LOSS
- DEFAULT TIMING
- STEPS IN PREDICTING COLLATAL LOSSES
- PROS AND CONS OF THE DEFAULT TIMING CURVE
- HISTORICAL MODEL FIT VERSUS ACTUAL
- DEFAULT TIMING IS NOT EQUAL TO LOSS TIMING
- AN ALTERNATIVE SPECIFICATION
- ALT-A AND CLOSED-END SECONDS
- SUMMARY
- Chapter 11: Valuing the ABX
- REVIEW OF BASIC VALUATION FOR ABX INDICES
- REVIEW OF VALUATION APPROACHES
- ECONOMETRIC APPROACH
- ABX VALUATION
- THE "SIMPLE" OR DO-IT-YOURSELF APPROACH TO ABX VALUATION
- ABX AFTER SUBPRIME SHUTDOWN
- SUMMARY
- APPENDIX: RESULTS OF ORIGINAL " BASE" PRICING (AND NUMBER OF BONDS WRITTEN DOWN) AND THE NEW " SHUTDOWN" ESTIMATES
- Chap.