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The Analysis of Structured Securities

Precise Risk Measurement and Capital Allocation

The Analysis of Structured Securities by Sylvain Raynes
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The Analysis of Structured Securities presents the first intellectually defensible framework for systematic assessment of the credit quality of structured securities.It begins with a detailed description and critique of methods used to rate asset-backed securities, collateralized debt obligations and asset-backed commercial paper. The book then proposes a single replacement paradigm capable of granular, dynamic results. It offers extensive guidance on using numerical methods in cash flow modeling, as well as a groundbreaking section on trigger optimization. Casework on applying the method to automobile ABS, CDOs-of-ABS and aircraft-lease securitizations is also presented.This book is essential reading for practitioners who seek higher precision, efficiency and control in managing their structured exposures.
Oxford University Press; September 2003
462 pages; ISBN 9780199882366
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Title: The Analysis of Structured Securities
Author: Sylvain Raynes; Ann Rutledge