Research Catalog
Subprime mortgage credit derivatives
- Title
- Subprime mortgage credit derivatives / Laurie S. Goodman [and others].
- Publication
- Hoboken, N.J. : John Wiley & Sons, [2008], ©2008.
- Supplementary Content
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2 Items
| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
| Text | Request in advance | HG2040.15 .S825 2008 | Off-site | |
Not available - Please for assistance. | Text | Use in library | Off-site |
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Details
- Additional Authors
- Goodman, Laurie S.
- Description
- xvi, 334 pages : illustrations; 24 cm.
- Summary
- "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.
- Series Statement
- The Frank J. Fabozzi series
- Uniform Title
- Frank J. Fabozzi series.
- Subject
- Note
- Includes index.
- Contents
- Pt. 1. Mortgage Credit -- Ch. 1. Overview of the Nonagency Mortgage Market -- Ch. 2. First Lien Mortgage Credit -- Ch. 3. Second Lien Mortgage Credit -- Pt. 2. Mortgage Securitizations -- Ch. 4. Features of Excess Spread/Overcollateralization: The Principle Subprime Structure -- Ch. 5. Subprime Triggers and Step-Downs -- Pt. 3. Credit Default Swaps on Mortgage Securities -- Ch. 6. Introduction to Credit Default Swap on ABS CDS -- Ch. 7. The ABX and TABX Indices -- Ch. 8. Relationship among Cash, ABCDS, and the ABX -- Ch. 9. Credit Default Swaps on CDOs -- Pt. 4. Loss Projection and Security Valuation -- Ch. 10. Loss Projection for Subprime, Alt-A, and Second Lien Mortgages -- Ch. 11. Valuing the ABX -- Ch. 12. ABS CDO Losses and Valuation -- Pt. 5. Subprime Meltdown -- Ch. 13. The Great Subprime Meltdown of 2007.
- ISBN
- 9780470243664 (cloth)
- 047024366X (cloth)
- LCCN
- 2008014507
- 40015637409
- OCLC
- ocn176896107
- 176896107
- SCSB-9052119
- Owning Institutions
- Columbia University Libraries