Post by Sapphire Capital on Jul 25, 2008 1:00:51 GMT 4
Subprime Mortgage Credit Derivatives
Laurie S. Goodman, Thomas A. Zimmerman, Douglas J. Lucas, Frank J. Fabozzi, Shumin Li
ISBN: 978-0-470-24366-4
Hardcover
Divided into four parts, this book addresses a variety of important topics, including mortgage credit (non-agency, first and second lien), mortgage securitizations (alternate structures and subprime triggers), credit default swaps on mortgage securities (ABX, cash synthetic relationships, CDO credit default swaps), and much more. In addition, the authors outline the origins of the subprime crisis, showing how during the 2004-2006 period, as housing became less affordable, origination standards were stretched-and when home price appreciation then turned to home price depreciation, defaults and delinquencies rose across the board.
The recent growth in subprime lending, along with a number of other industry factors, has made the demand for timely knowledge and solutions greater than ever before, and this guide contains the information financial professionals need to succeed in this challenging field.
Key Topics Covered:
-- Overview Of The Non-Agency Mortgage Market.
-- First Lien Mortgage Credit.
-- Second Lien Mortgage Credit.
-- Features Of Excess Spread/Overcollateralization: The Principle Subprime Structure.
-- Subprime Triggers And Stepdowns.
-- Introduction To Credit Default Swap On ABS CDS.
-- The ABX And TABX Indices.
-- Relationship Among Cash, ABCDS, And The ABX.
-- Credit Default Swaps On Cdos.
-- Loss Projection For Subprime, Alt-A, And Second Lien Mortgages.
-- Valuing The ABX.
-- ABS CDO Losses And Valuation.
-- The Great Subprime Meltdown Of 2007.
Laurie S. Goodman, Thomas A. Zimmerman, Douglas J. Lucas, Frank J. Fabozzi, Shumin Li
ISBN: 978-0-470-24366-4
Hardcover
Divided into four parts, this book addresses a variety of important topics, including mortgage credit (non-agency, first and second lien), mortgage securitizations (alternate structures and subprime triggers), credit default swaps on mortgage securities (ABX, cash synthetic relationships, CDO credit default swaps), and much more. In addition, the authors outline the origins of the subprime crisis, showing how during the 2004-2006 period, as housing became less affordable, origination standards were stretched-and when home price appreciation then turned to home price depreciation, defaults and delinquencies rose across the board.
The recent growth in subprime lending, along with a number of other industry factors, has made the demand for timely knowledge and solutions greater than ever before, and this guide contains the information financial professionals need to succeed in this challenging field.
Key Topics Covered:
-- Overview Of The Non-Agency Mortgage Market.
-- First Lien Mortgage Credit.
-- Second Lien Mortgage Credit.
-- Features Of Excess Spread/Overcollateralization: The Principle Subprime Structure.
-- Subprime Triggers And Stepdowns.
-- Introduction To Credit Default Swap On ABS CDS.
-- The ABX And TABX Indices.
-- Relationship Among Cash, ABCDS, And The ABX.
-- Credit Default Swaps On Cdos.
-- Loss Projection For Subprime, Alt-A, And Second Lien Mortgages.
-- Valuing The ABX.
-- ABS CDO Losses And Valuation.
-- The Great Subprime Meltdown Of 2007.