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Structured Credit Products Pricing, Rating, Risk Management and Basel II
Incisive Media, Sep 2004, Pages: 450
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.
'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
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
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