Securitization – Structuring and Investment Analysis +CD
Structuring and Investment Analysis
Gebonden Engels 2003 9780471022602Samenvatting
"This book fills a very important gap in the mindset of the bond structurer and the investor. Often, the two disciplines approach their tasks ignorant of the perspectives of the other side. But successful structuring requires providing the best value to investors in order to compete, and investors who don′t fully understand structuring will not remain investors for long. Highly recommended!"
–Bennett W. Golub
Managing Director, BlackRock, Inc.
"An excellent primer on asset securitization, clearly written in plain English and with straightforward mathematical expressions. This book is suitable for both business school students and structured finance market practitioners."
–Joseph Hu, PhD
Managing Director, Structured Finance Ratings
Standard & Poor′s
"In their new work Securitization: Structuring and Investment Analysis, Andrew Davidson et al. reinforce their preeminence in the alchemy of mortgage securitization. Anyone involved in mortgages neglects Andy′s work at his peril."
–Richard T. Pratt
Chairman, Richard T. Pratt Associates
Former Chairman, Merrill Lynch Mortgage Corporation
"This book provides an insightful and accessible exploration of securitized real estate markets. As such, it provides a valuable service to those active and interested in these burgeoning markets. The authors have done a wonderful job of gracefully integrating a vast and important subject matter. Accordingly, this book also makes for an excellent textbook for those universities offering one or more courses in this rapidly growing field."
–Joseph L. Pagliari, Jr.
Kellogg School of Management
Northwestern University
Specificaties
Lezersrecensies
Inhoudsopgave
<p>CHAPTER 1 The Role of Securitization 3</p>
<p>CHAPTER 2 Fundamentals of Structuring 15</p>
<p>CHAPTER 3 Fundamentals of Investment Analysis 29</p>
<p>CHAPTER 4 Historical Performance of Asset–Backed Securities and Mortgage–Backed Securities 41</p>
<p>PART TWO Agency Mortgage–Backed Securities</p>
<p>CHAPTER 5 Mortgage Loans: The Basis of Mortgage–Backed Securities 51</p>
<p>CHAPTER 6 Agency Pass–Throughs 75</p>
<p>CHAPTER 7 Fundamentals of the Interest–Rate Market 89</p>
<p>CHAPTER 8 Static Analysis for Mortgage Pass–Through Securities 109</p>
<p>CHAPTER 9 Mortgage–Backed Securities Prepayments 131</p>
<p>CHAPTER 10 Total–Return Scenario Analysis 155</p>
<p>PART THREE Advanced Mortgage–Backed Securities and Analysis</p>
<p>CHAPTER 11 Structuring CMOs, IOs, and POs 185</p>
<p>CHAPTER 12 Interest–Rate Volatility, Options, and Models 215</p>
<p>CHAPTER 13 Option–Adjusted Spread 249</p>
<p>CHAPTER 14 Comparing Investment Alternatives 275</p>
<p>PART FOUR Non–Agency Mortgage–Backed Securities and Analyzing Credit Risk</p>
<p>CHAPTER 15 Non–Agency Mortgage–Backed Securities 287</p>
<p>CHAPTER 16 Collateral Performance 303</p>
<p>CHAPTER 17 Home Equity and Subprime Loans 325</p>
<p>CHAPTER 18 Analysis of Credit–Sensitive Mortgage–Backed Securities 337</p>
<p>PART FIVE Asset–Backed Securities</p>
<p>CHAPTER 19 Auto–Loan Asset–Backed Securities 355</p>
<p>CHAPTER 20 Credit–Card Asset–Backed Securities 367</p>
<p>CHAPTER 21 Manufactured–Housing Asset–Backed Securities 379</p>
<p>PART SIX Commercial Mortgages</p>
<p>CHAPTER 22 Commercial Loans 391</p>
<p>CHAPTER 23 Commercial Mortgage–Backed Securities 409</p>
<p>CHAPTER 24 The Role of Real Estate Investment Trusts (REITs) 429</p>
<p>PART SEVEN The European Securitization Market</p>
<p>CHAPTER 25 Development of a Market 447</p>
<p>CHAPTER 26 European Residential Mortgages 465</p>
<p>CHAPTER 27 European Securitization Legislation 489</p>
<p>CHAPTER 28 Structuring Asset–Backed Securities in Europe 503</p>
<p>Bibliography 527</p>
<p>Additional Resources 531</p>
<p>About the CD–ROM 533</p>
<p>Index 537</p>
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