The analysis of structured securities: precise risk measurement and capital allocation
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Oxford
Oxford Univ. Press
2003
|
| Schlagworte: | |
| Online-Zugang: | Table of contents only Publisher description Contributor biographical information Inhaltsverzeichnis |
| Beschreibung: | XII, 449 S. graph. Darst. |
| ISBN: | 9780195152739 0195152735 |
Internformat
MARC
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| 245 | 1 | 0 | |a The analysis of structured securities |b precise risk measurement and capital allocation |c Sylvain Raynes and Ann Rutledge |
| 264 | 1 | |a Oxford |b Oxford Univ. Press |c 2003 | |
| 300 | |a XII, 449 S. |b graph. Darst. | ||
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| 338 | |b nc |2 rdacarrier | ||
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| 650 | 7 | |a Derivaten (financiën) |2 gtt | |
| 650 | 4 | |a Titres hypothécaires | |
| 650 | 4 | |a Titrisation | |
| 650 | 4 | |a Valeurs mobilières | |
| 650 | 4 | |a Securities | |
| 650 | 4 | |a Asset-backed financing | |
| 650 | 4 | |a Mortgage-backed securities | |
| 650 | 4 | |a Investment analysis | |
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Datensatz im Suchindex
| _version_ | 1804139311617015808 |
|---|---|
| adam_text | Contents
Part I: The Contemporary Framework
1
Market Basics
3
2
To Rate A Tabula Rasa
17
3
The Actuarial Method
32
4
The Default Method
58
5
The Eclectic Method
69
Part II: Analyzing Structured Securities
6
Toward a Science of Ratings
79
7
Dynamic Asset Analysis
93
8
Liabilities Analysis and Structuring
106
9
The Average Life of Assets and Liabilities
124
10
PACsandTACs
138
Part III: Applications of Numerical Methods to Structured Finance
11
The Art of Mathematical Modeling
155
12
Statistical Probability Density Functions
163
13
Eigenvalues and Eigenvectors
173
14
Markov Chains
180
15
Regression Analysis
196
16
Lower-Upper Decomposition
201
17
Covariance Matrix Simulation
204
18
The Newton-Raphson Nonlinear Optimization Method
208
19
Tchebychev Polynomials
211
Part IV: Case Studies
20
Automobile Receivable Securitizations
223
xii Contents
21 CDOsofABS 272
22
Aircraft Receivable Securitizations
312
Part V: Advanced Structural Features
23
Trigger Theory
357
Concluding Remarks
377
Appendices
Appendix A Numerical Experiments in Random
Number Generation
383
Appendix
В
The Physics of Markov Chains
386
Appendix
С
The Markov Property and the Efficient
Market Hypothesis
389
Appendix
D
An Example of Nonlinear Regression
392
Appendix
E
The Symmetry and
Nonnegative
Definiteness of
Two Special Matrices
394
Appendix
F
Convergence Analysis for the Newton-Raphson
Optimization Method
397
Appendix
G
Spline Function Interpolations
411
Appendix
H
Correlation Topics
420
Notes
429
Index
441
|
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| institution | BVB |
| isbn | 9780195152739 0195152735 |
| language | English |
| lccn | 2003004691 |
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| spelling | Raynes, Sylvain Verfasser aut The analysis of structured securities precise risk measurement and capital allocation Sylvain Raynes and Ann Rutledge Oxford Oxford Univ. Press 2003 XII, 449 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Analyse financière Derivaten (financiën) gtt Titres hypothécaires Titrisation Valeurs mobilières Securities Asset-backed financing Mortgage-backed securities Investment analysis Investitionsanalyse (DE-588)4273190-2 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Investitionsanalyse (DE-588)4273190-2 s b DE-604 Rutledge, Ann Sonstige oth http://www.loc.gov/catdir/toc/fy042/2003004691.html Table of contents only http://www.loc.gov/catdir/enhancements/fy0614/2003004691-d.html Publisher description http://www.loc.gov/catdir/enhancements/fy0726/2003004691-b.html Contributor biographical information Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017689034&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Raynes, Sylvain The analysis of structured securities precise risk measurement and capital allocation Analyse financière Derivaten (financiën) gtt Titres hypothécaires Titrisation Valeurs mobilières Securities Asset-backed financing Mortgage-backed securities Investment analysis Investitionsanalyse (DE-588)4273190-2 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4273190-2 (DE-588)4381572-8 |
| title | The analysis of structured securities precise risk measurement and capital allocation |
| title_auth | The analysis of structured securities precise risk measurement and capital allocation |
| title_exact_search | The analysis of structured securities precise risk measurement and capital allocation |
| title_full | The analysis of structured securities precise risk measurement and capital allocation Sylvain Raynes and Ann Rutledge |
| title_fullStr | The analysis of structured securities precise risk measurement and capital allocation Sylvain Raynes and Ann Rutledge |
| title_full_unstemmed | The analysis of structured securities precise risk measurement and capital allocation Sylvain Raynes and Ann Rutledge |
| title_short | The analysis of structured securities |
| title_sort | the analysis of structured securities precise risk measurement and capital allocation |
| title_sub | precise risk measurement and capital allocation |
| topic | Analyse financière Derivaten (financiën) gtt Titres hypothécaires Titrisation Valeurs mobilières Securities Asset-backed financing Mortgage-backed securities Investment analysis Investitionsanalyse (DE-588)4273190-2 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Analyse financière Derivaten (financiën) Titres hypothécaires Titrisation Valeurs mobilières Securities Asset-backed financing Mortgage-backed securities Investment analysis Investitionsanalyse Derivat Wertpapier |
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