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"Subprime Mortgage Credit Derivatives offers readers the best strategies and risk management tools for dealing with today's growing and currently volatile subprime mortgage credit derivatives market. The authors examine the factors that determine default and prepayment risk, and in the process outline the origins of the current subprime crisis. They look at how the three forms of subprime mortgage risk-cash, single name ABCDS, and the ABX-differ and what drives their relative spreads. And they examine the salient features of the excess spread/overcollateralization structure used on most subprime securities since 1998, showing how even a small change in the prepayment rate or default rate can cause a major shift in cash flows, which in turn can have a major impact on valuations."--BOOK JACKET.
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OverDrive, Business, NonfictionShowing 2 featured editions. View all 2 editions?
Edition | Availability |
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1
Subprime Mortgage Credit Derivatives
2008, John Wiley & Sons, Ltd.
Electronic resource
in English
0470392746 9780470392744
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2
Subprime Mortgage Credit Derivatives (Frank J. Fabozzi Series)
June 9, 2008, Wiley
Hardcover
in English
047024366X 9780470243664
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aaaa
Libraries near you:
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Work Description
Mortgage credit derivatives are a risky business, especially of late. Written by an expert author team of UBS practitioners-Laurie Goodman, Shumin Li, Douglas Lucas, and Thomas Zimmerman-along with Frank Fabozzi of Yale University, Subprime Mortgage Credit Derivatives covers state-of-the-art instruments and strategies for managing a portfolio of mortgage credits in today's volatile climate. 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.
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Feedback?November 28, 2023 | Edited by MARC Bot | import existing book |
July 22, 2019 | Edited by MARC Bot | remove fake subjects |
February 13, 2019 | Edited by MARC Bot | import existing book |
February 13, 2019 | Edited by MARC Bot | import existing book |
June 26, 2012 | Edited by AMillarBot | remove series from title (Frank J. Fabozzi Series) |