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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Bibliographic Details
Other Authors: Goodman, Laurie S.
Format: Electronic eBook
Language:English
Published: Hoboken, N.J. : John Wiley & Sons, ?2008.
Series:Frank J. Fabozzi series.
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.