Download or read book Subprime Mortgage Credit Derivatives written by Laurie S. Goodman and published by John Wiley & Sons. This book was released on 2008-06-02 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mortgage credit derivatives are a risky business, especially of late. Written by an expert author team of UBS practitioners-Laurie Goodman, Shumin Li, Douglas Lucas, and Thomas Zimmerman-along with Frank Fabozzi of Yale University, Subprime Mortgage Credit Derivatives covers state-of-the-art instruments and strategies for managing a portfolio of mortgage credits in today's volatile climate. Divided into four parts, this book addresses a variety of important topics, including mortgage credit (non-agency, first and second lien), mortgage securitizations (alternate structures and subprime triggers), credit default swaps on mortgage securities (ABX, cash synthetic relationships, CDO credit default swaps), and much more. In addition, the authors outline the origins of the subprime crisis, showing how during the 2004-2006 period, as housing became less affordable, origination standards were stretched-and when home price appreciation then turned to home price depreciation, defaults and delinquencies rose across the board. The recent growth in subprime lending, along with a number of other industry factors, has made the demand for timely knowledge and solutions greater than ever before, and this guide contains the information financial professionals need to succeed in this challenging field.
Download or read book Understanding the Securitization of Subprime Mortgage Credit written by Adam B. Ashcraft and published by DIANE Publishing. This book was released on 2010-03 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides an overview of the subprime mortgage securitization process and the seven key informational frictions that arise. Discusses the ways that market participants work to minimize these frictions and speculate on how this process broke down. Continues with a complete picture of the subprime borrower and the subprime loan, discussing both predatory borrowing and predatory lending. Presents the key structural features of a typical subprime securitization, documents how rating agencies assign credit ratings to mortgage-backed securities, and outlines how these agencies monitor the performance of mortgage pools over time. The authors draw upon the example of a mortgage pool securitized by New Century Financial during 2006. Illustrations.
Download or read book Structured Products and Related Credit Derivatives written by Brian P. Lancaster and published by John Wiley & Sons. This book was released on 2008-06-20 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: Filled with the insights of numerous experienced contributors, Structured Products and Related Credit Derivatives takes a detailed look at the various aspects of structured assets and credit derivatives. Written over a period spanning the greatest bull market in structured products history to arguably its most challenging period, this reliable resource will help you identify the opportunities and mitigate the risks in this complex financial market.
Download or read book Credit Securitisations and Derivatives written by Daniel Rösch and published by John Wiley & Sons. This book was released on 2013-04-03 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive resource providing extensive coverage of the state of the art in credit secruritisations, derivatives, and risk management Credit Securitisations and Derivatives is a one-stop resource presenting the very latest thinking and developments in the field of credit risk. Written by leading thinkers from academia, the industry, and the regulatory environment, the book tackles areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitisations and credit derivatives; credit portfolio risk; credit portfolio risk tranching; credit ratings for securitisations; counterparty credit risk and clearing of derivatives contracts and liquidity risk. As well as a thorough analysis of the existing models used in the industry, the book will also draw on real life cases to illustrate model performance under different parameters and the impact that using the wrong risk measures can have.
Download or read book Subprime Credit Crisis written by and published by . This book was released on 2008 with total page 1290 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Credit Risk written by Niklas Wagner and published by CRC Press. This book was released on 2008-05-28 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. Divided into six sectio
Download or read book Understanding Credit Derivatives and Related Instruments written by Antulio N. Bomfim and published by Academic Press. This book was released on 2015-11-23 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding Credit Derivatives and Related Instruments, Second Edition is an intuitive, rigorous overview that links the practices of valuing and trading credit derivatives with academic theory. Rather than presenting highly technical explorations, the book offers summaries of major subjects and the principal perspectives associated with them. The book's centerpiece is pricing and valuation issues, especially valuation tools and their uses in credit models. Five new chapters cover practices that have become commonplace as a result of the 2008 financial crisis, including standardized premiums and upfront payments. Analyses of regulatory responses to the crisis for the credit derivatives market (Basel III, Dodd-Frank, etc.) include all the necessary statistical and mathematical background for readers to easily follow the pricing topics. Every reader familiar with mid-level mathematics who wants to understand the functioning of the derivatives markets (in both practical and academic contexts) can fully satisfy his or her interests with the comprehensive assessments in this book. Explores the role that credit derivatives played during the economic crisis, both as hedging instruments and as vehicles that potentially magnified losses for some investors Comprehensive overview of single-name and multi-name credit derivatives in terms of market specifications, pricing techniques, and regulatory treatment Updated edition uses current market statistics (market size, market participants, and uses of credit derivatives), covers the application of CDS technology to other asset classes (CMBX, ABX, etc.), and expands the treatment of individual instruments to cover index products, and more
Download or read book An Introduction to Credit Derivatives written by Moorad Choudhry and published by Butterworth-Heinemann. This book was released on 2012-12-31 with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of An Introduction to Credit Derivatives provides a broad introduction to products and a marketplace that have changed significantly since the financial crisis of 2008. Author Moorad Choudhry gives a practitioner's perspective on credit derivative instruments and the risks they involve in a succinct style without sacrificing technical details and scientific precision. Beginning with foundational discussions of credit risk, credit risk transfer and credit ratings, the book proceeds to examine credit default swaps and related pricing, asset swaps, credit-linked notes, and more. Ample references, appendices and a glossary add considerably to the lasting value of the book for students and professionals in finance. A post-crisis guide to a powerful bank risk management product, its history and its use Liberal use of Bloomberg screens and new worked examples increase hands-on practicality New online set of CDS pricing models and other worksheets multiply the book's uses
Download or read book US subprime Crisis To what Extent Can You Safeguard Financial System Risks written by L. H. Jansen and published by GRIN Verlag. This book was released on 2008 with total page 89 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2008 in the subject Economics - Finance, grade: 1,7, University of Applied Sciences Essen, course: General Economics, 94 entries in the bibliography, language: English, abstract: The subprime mortgage financial crisis is an ongoing financial crisis which was caused by the sharp rise in the US subprime mortgage market that began in the United States in fall 2006 and became to a global financial crisis in July 2007. Rising interest rates increased the monthly payments on newly-popular adjustable rate mortgages and property values suffered declines from the demise of the US housing bubble, leaving home owners unable to meet financial commitments and lenders without a means on their losses. Many observers believe this has resulted in a severe credit crunch, threatening the solvency of a number of financial institutions and marginal banks. Declines in stock markets worldwide, several worthless hedge funds, central bank interventions, contractions of retail profits and bankruptcy of several mortgage lenders are some of the results we saw in this subprime crisis. The crisis was caused by several reasons, e. g. the developments on the US housing market, the insolvency of many American loan takers, the absence of appropriate diligence of the financial institutions and within the created financial assets, the delayed intervention of the regulating authorities and the activities of the rating agencies while evaluating the credit derivatives and securitizations. The theoretical optimum for an investment is a high return without any risk and without loosing liquidity. The real situation shows that an investor has to match these three points optimal for his own investment strategy. A higher return is always linked to a higher risk and increased uncertainty. And if the money is expended the investor looses a part of his liquidity. Credit derivatives and securitizations are used to separate the risk of credits from the original credit relation. These in
Download or read book Credit Default Swaps written by Marti Subrahmanyam and published by Now Publishers. This book was released on 2014-12-19 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007-2009. The authors review the extant literature on CDS that has accumulated over the past two decades and divide the survey into seven topics after providing a broad overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction to CDS contract definitions and conventions. The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles, structural, and reduced-form credit risk models. It also summarizes the literature on the determinants of CDS spreads, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses how the development of the CDS market has affected the characteristics of the bond and equity markets, with an emphasis on market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge between the pricing of the CDS and its reference bond, and the mispricing between the CDS and the equity market. The fifth section examines the effect of CDS trading on firms' credit and bankruptcy risk, and how it affects corporate financial policy, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS impact the economic incentives of financial intermediaries. The seventh section reviews the growing literature on sovereign CDS and highlights the major differences between the sovereign and corporate CDS markets. The eighth section discusses CDS indices, especially the role of synthetic CDS index products backed by residential mortgage-backed securities during the financial crisis. The authors close with our suggestions for promising future research directions on CDS contracts and markets.
Download or read book The Big Short Inside the Doomsday Machine written by Michael Lewis and published by W. W. Norton & Company. This book was released on 2011-02-01 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: The #1 New York Times bestseller: "It is the work of our greatest financial journalist, at the top of his game. And it's essential reading."—Graydon Carter, Vanity Fair The real story of the crash began in bizarre feeder markets where the sun doesn't shine and the SEC doesn't dare, or bother, to tread: the bond and real estate derivative markets where geeks invent impenetrable securities to profit from the misery of lower- and middle-class Americans who can't pay their debts. The smart people who understood what was or might be happening were paralyzed by hope and fear; in any case, they weren't talking. Michael Lewis creates a fresh, character-driven narrative brimming with indignation and dark humor, a fitting sequel to his #1 bestseller Liar's Poker. Out of a handful of unlikely-really unlikely-heroes, Lewis fashions a story as compelling and unusual as any of his earlier bestsellers, proving yet again that he is the finest and funniest chronicler of our time.
Download or read book Betting on Failure written by Craig Furfine and published by . This book was released on 2017 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt: In October 2008, in the midst of a financial crisis, Anthony Keating, investment manager at the Boston private bank Billingsley, Blaylock, and Montgomery, was searching for an investment strategy to recommend to his high-net-worth clients. Traditional investments in the equity markets were being decimated, and Keating's clients would be looking to him for ideas. Inspired by the success of Paulson and Co., Keating began to explore the possibility of entering a trade that would profit as homeowners defaulted on their mortgages. The more Keating learned about the trade, the more he realized that he needed to know about mortgage-backed securities and credit default swaps. The case provides instructors with a chance to introduce these financial instruments, while at the same time providing lessons applicable to students interested in value investing or real estate finance. After reading and analyzing the case, students will be able to: - Explain how home mortgages are securitized into financial instruments that are traded in public markets - Describe how credit default swaps can be used to speculate on the value of an underlying financial instrument - Identify potential mispricing across related financial instruments - Understand the potential risks and rewards of various financial investment strategies that look to capitalize on defaults on subprime mortgages.
Download or read book Credit Derivatives written by Mark J. P. Anson and published by John Wiley & Sons. This book was released on 2004-02-01 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide to credit derivatives Credit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real-world practice and applications of credit derivatives products. Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers. Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University. Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London. Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.
Download or read book Anatomy of a Meltdown written by Michael P. Malloy and published by Aspen Publishing. This book was released on 2014-12-09 with total page 445 pages. Available in PDF, EPUB and Kindle. Book excerpt: Anatomy of a Meltdown: A Dual Financial Biography of the Subprime Mortgage Crisis, traces the course of two financial icons, Lehman Brothers and WaMu—one operating in the investment sector, the other in the consumer financial services sector—on their path to financial ruin. Illuminating the nature and severity of the subprime mortgage crisis, author Michael P. Malloy presents a clear and cogent analysis of the global economic meltdown, the steps necessary to restore the financial markets, and measures that must be taken to avoid similar crises in the future. This clear and concise text by one of the foremost authorities on bank regulation features: comprehensive coverage of all of the fundamental law, policy, and practical issues raised by the crisis and the government's response to it the core of key cases preserved in timely and salient excerpts a balanced policy perspective step-by-step, highly readable analysis of the practical and policy implications of the subprime mortgage crisis the author's cutting-edge web log that offers continuously updated supplemental material generous use of examples throughout the text effective use of visual aids to illustrate concepts and spark class discussion Anatomy of a Meltdown: A Dual Financial Biography of the Subprime Mortgage Crisis, by Michael P. Malloy tells the story of the financial meltdown that swept through American and international markets, threatening to plunge the United States into depression as Wall Street and the global economy faced near-total collapse.
Download or read book The Role of Financial Derivatives in the Current Financial Crisis written by United States. Congress. Senate. Committee on Agriculture, Nutrition, and Forestry and published by . This book was released on 2009 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Comparing Patterns of Default Among Prime and Subprime Mortgages written by Gene Amromin and published by DIANE Publishing. This book was released on 2010-01 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article compares default patterns among prime and subprime mortgages, analyzes the factors correlated with default, and examines how forecasts of defaults are affected by alternative assumptions about trends in home prices. The authors find that extremely pessimistic forecasts of home price appreciation could have generated predictions of subprime defaults that were closer to the actual default experience for loans originated in 2006 and 2007. However, for prime loans one would have also had to anticipate that defaults would become much more sensitive to home prices. Tables and graphs.
Download or read book Introduction to Securitization written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2008-06-06 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduction to Securitization outlines the basics of securitization, addressing applications for this technology to mortgages, collateralized debt obligations, future flows, credit cards, and auto loans. The authors present a comprehensive overview of the topic based on the experience they have gathered through years of interaction with practitioners and graduate students around the world. The authors offer coverage of such key topics as: structuring agency MBS deals and nonagency deals, credit enhancements and sizing, using interest rate derivatives in securitization transactions, asset classes securitized, operational risk factors, implications for financial markets, and applying securitization technology to CDOs. Finally, in the appendices, the authors provide an essential introduction to credit derivatives, an explanation of the methodology for the valuation of MBS/ABS, and the estimation of interest rate risk. Securitization is a financial technique that pools assets together and, in effect, turns them into a tradable security. The end result of a securitization transaction is that a corporation can obtain proceeds by selling assets and not borrowing funds. In real life, many securitization structures are quite complex and enigmatic for practitioners, investors, and finance students. Typically, books detailing this topic are either too lengthy, too technical, or too superficial in their presentation. Introduction to Securitization is the first to offer essential information on this topic at a fundamental, yet comprehensive level-providing readers with a working understanding of what has become one of today's most important areas of finance. Authors Frank Fabozzi and Vinod Kothari, internationally recognized experts in the field, clearly define securitization, contrast it with corporate finance, and explain its advantages. They carefully illustrate the structuring of asset-backed securities (ABS) transactions, including agency mortgage-backed securities (MBS) deals and nonagency deals, and show the use of credit enhancements and interest rate derivatives in such transactions. They review the collateral classes in ABS, such as retail loans, credit cards, and future flows, and discuss ongoing funding vehicles such as asset-backed commercial paper conduits and other structured vehicles. And they explain the different types of collateralized debt obligations (CDOs) and structured credit, detailing their structuring and analysis. To complement the discussion, an introduction to credit derivatives is also provided. The authors conclude with a close look at securitization's impact on the financial markets and the economy, with a review of the now well-documented problems of the securitization of one asset class: subprime mortgages. While questions about the contribution of securitization have been tainted by the subprime mortgage crisis, it remains an important process for corporations, municipalities, and government entities seeking funding. The significance of this financial innovation is that it has been an important form of raising capital for corporations and government entities throughout the world, as well as a vehicle for risk management. Introduction to Securitization offers practitioners and students a simple and comprehensive entry into the interesting world of securitization and structured credit.
