Structured Credit Products - Risk Books
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Structured Credit Products

Edited By William Perraudin

Overview

Written by leading industry participants, regulators and academics active within the market, this new title will help you understand the very latest developments in the pricing, rating and risk management of structured products as well as the related regulatory issues. And to bring you fully up-to-date, Structured Credit Products concludes with a highly topical analysis of the very latest Basel proposals related to structured exposures.

Publish date: 1 Sep 2004

Availability: In stock

£99.00
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Book description

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

Book details

ISBN
9781904339267
Publish date
1 Sep 2004
Format
Size
155mm x 235mm

Editor biography

William Perraudin

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.

Table of contents

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

Testimonials

“A valuable resource and guidebook to better understanding the intricacies of the innovative and fast-growing structured product market with particularly interesting coverage of the effects of the new Basel II Accord on regulatory capital for securitisation transactions.“

Dr. Scott-Christopher Rankin, Senior Vice President, Bond Market Association Int’l and Head of the European Securitisation Forum

Customer Reviews

Average customer reviews for Structured Credit Products
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