The emergence of new markets in structured products has transformed the banking business. Structured Credit Products unites the leading industry experts and regulators to provide a formidable reference to your understanding of the entire area. Whether you are new to structured products or already have experience in the field, this book will prove invaluable.

• Describes the nature of typical structured products in detail, lucidly explaining the different categories of transactions and features of the market

• Sets out the many considerations that influence the valuation of structured products

• Describes new techniques for modelling statistically the losses on pools of correlated credit exposures, focusing on how correlation between defaults may be described

• Examines how different models applied to structured product exposures compare in their implications for expected losses and capital

• Analyses methodological aspects of structured exposure ratings

• Contributes significantly to the current limited state of knowledge of the empirical behaviour of structured product ratings

• Examines the risks in structured product investments by analysing the volatilities and other statistics of secondary market spreads on US asset-backed securities (ABS)

• Analyses an important new class of asymptotic models that are useful for analysing capital for structured products

• Provides a critical industry perspective on the Basel II proposals for structured products

Section 1: Pricing

1. A Survey of Dependency Modelling: Copulas, Tail Dependence and Estimation
Rüdiger Kiesel; Rafael Schmidt
University of Ulm; LSE

2. Pricing European Structured Product Securities
Alexander Batchvarov
Merrill Lynch

3. On Correlation in Intensity Models
David Lando
Copenhagen Business School

Section 2: Rating

4. Rating Transitions in Global Structured Finance
Jian Hu
Moody's Investors Service

5. Credit Risk Analysis and Structured Finance Ratings: Qualitative and Quantitative Methods
Kai Gilkes, Nobert Jobst
Standard and Poor's

6. CDOs and Correlation Analysis
Richard V. Hrvatin, Matthias Neugebauer
Fitch

7. The Impact of Credit Rating Changes on the Pricing of Asset-Backed Securities
John Ammer, Nathanael Clinton
Federal Reserve Board

Section 3: Risk Management

8. A Survey of CDOs and Their Use in Bank Balance Sheet Management
Domenico Picone
Royal Bank of Scotland

9. Asymptotic Model of Economic Capital for Securitisations
Michael Pykhtin
KeyCorp

10. A Comparative Analysis of CDO Risk Models
Olivier Renault; Tom Dewyspelaere, João B.C. Garcia
Standard and Poor's; Dexia Group

11. Patterns of Risk Diversification in a Securitisation
Jeroen de Smet, Viktor Tchistiakov
ING Group

12. How Risky are Structured Exposures Compared with Corporate Bonds?
William Perraudin; Astrid Van Landschoot
Imperial College and Bank of England; National Bank of Belgium

Section 4: Basel II

13. Model Foundations for the Supervisory Formula Approach
Michael Gordy
Federal Reserve Board

14. Capital for Structured Products
Vlad Peretyatkin; William Perraudin
Birkbeck College; Imperial College and Bank of England

15. An Empirical Test of Basel Risk Weights Applied to Securitisation
Alexander Batchvarov; Domenico Picone; Peter-Paul Hoogbruin; Jeroen de Smet; Viktor Tchistiakov
Merrill Lynch; Royal Bank of Scotland; ING Group

William Perraudin worked part-time as Special Advisor to the Bank of England and was deeply involved in the financial engineering behind the current Basel II proposals for bank capital. He has consulted with numerous banks and public bodies.