Securitization
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Securitization: Structuring and Investment Analysis(219 Wiley Finance)

Securitization: Structuring and Investment Analysis(219 Wiley Finance)


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About the Book

Table of Contents:
PART ONE Introduction to Securitization CHAPTER 1 The Role of Securitization 3 CHAPTER 2 Fundamentals of Structuring 15 CHAPTER 3 Fundamentals of Investment Analysis 29 CHAPTER 4 Historical Performance of Asset-Backed Securities and Mortgage-Backed Securities 41 PART TWO Agency Mortgage-Backed Securities CHAPTER 5 Mortgage Loans: The Basis of Mortgage-Backed Securities 51 CHAPTER 6 Agency Pass-Throughs 75 CHAPTER 7 Fundamentals of the Interest-Rate Market 89 CHAPTER 8 Static Analysis for Mortgage Pass-Through Securities 109 CHAPTER 9 Mortgage-Backed Securities Prepayments 131 CHAPTER 10 Total-Return Scenario Analysis 155 PART THREE Advanced Mortgage-Backed Securities and Analysis CHAPTER 11 Structuring CMOs, IOs, and POs 185 CHAPTER 12 Interest-Rate Volatility, Options, and Models 215 CHAPTER 13 Option-Adjusted Spread 249 CHAPTER 14 Comparing Investment Alternatives 275 PART FOUR Non-Agency Mortgage-Backed Securities and Analyzing Credit Risk CHAPTER 15 Non-Agency Mortgage-Backed Securities 287 CHAPTER 16 Collateral Performance 303 CHAPTER 17 Home Equity and Subprime Loans 325 CHAPTER 18 Analysis of Credit-Sensitive Mortgage-Backed Securities 337 PART FIVE Asset-Backed Securities CHAPTER 19 Auto-Loan Asset-Backed Securities 355 CHAPTER 20 Credit-Card Asset-Backed Securities 367 CHAPTER 21 Manufactured-Housing Asset-Backed Securities 379 PART SIX Commercial Mortgages CHAPTER 22 Commercial Loans 391 CHAPTER 23 Commercial Mortgage-Backed Securities 409 CHAPTER 24 The Role of Real Estate Investment Trusts (REITs) 429 PART SEVEN The European Securitization Market CHAPTER 25 Development of a Market 447 CHAPTER 26 European Residential Mortgages 465 CHAPTER 27 European Securitization Legislation 489 CHAPTER 28 Structuring Asset-Backed Securities in Europe 503 Bibliography 527 Additional Resources 531 About the CD-ROM 533 Index 537

About the Author :
ANDREW DAVIDSON, one of the most well-respected names in mortgage-backed securities and securitization, is President and founder of Andrew Davidson & Co., Inc., a New York—based consulting firm specializing in the application of analytical tools to investment management. The company provides consulting advice to many of the major firms in the securitization business. It is also a leading provider of prepayment and valuation models for MBS and ABS. Prior to forming the company in 1992, Davidson was a managing director at Merrill Lynch responsible for MBS, CMO, ABS, and Futures and Options Research. ANTHONY SANDERS is the Galbreath Distinguished Scholar and Professor of Finance at The Ohio State University. During 1997 and 1998, he was director and head of asset-backed and mortgage-backed securities research at Deutsche Bank. He has published numerous articles in journals such as the Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Business, and Journal of Fixed Income. LAN-LING WOLFF heads Fredell & Co. Structured Finance Ltd. in London, which specializes in providing structuring and arranging services for asset-backed securities all over Europe. Wolff’s background in the U.S. mortgage-backed securities market and understanding of the European capital markets places her on the cutting edge of securitization globally. She specializes in residential mortgages and mortgage banking. ANNE CHING, a senior consultant at Andrew Davidson & Co., Inc., has worked in the credit risk and investment analysis of sub-prime residential and manufactured housing sectors. She has also worked on the structuring of non-U.S. mortgage-backed securities. The authors drew on the expertise of Andrew Davidson & Co., Inc., in preparing Securitization. The broad range of expertise of the firm’s consultants, and the technical and analytical skills of the firm’s analysts, provide a rich background that gives Securitization strong theoretical underpinnings, as well as a grounding in practical application of the theory and methods described in the book. Two associates from outside the firm, with additional specialized expertise, were enlisted as well.


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Product Details
  • ISBN-13: 9780470300817
  • Publisher: John Wiley & Sons Inc
  • Publisher Imprint: John Wiley & Sons Inc
  • Language: English
  • Series Title: 219 Wiley Finance
  • ISBN-10: 0470300817
  • Publisher Date: 10 Dec 2007
  • Binding: Digital (delivered electronically)
  • No of Pages: 576
  • Sub Title: Structuring and Investment Analysis


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