Subprime mortgage credit derivatives /
Subprime mortgage credit derivatives /
Laurie S. Goodman ... [et al.].
- Hoboken, N.J. : John Wiley & Sons, c2008.
- xvi, 334 p. : ill. ; 24 cm.
- The Frank J. Fabozzi series .
- Frank J. Fabozzi series .
Incluye índice
pt. 1. Mortgage credit -- Overview of the nonagency mortgage market -- First lien mortgage credit -- Second lien mortgage credit -- pt. 2. Mortgage securitizations -- Features of excess spread/overcollateralization : the principle subprime structure -- Subprime triggers and step-downs -- pt. 3. Credit default swaps on mortgage securities -- Introduction to credit default swap on ABS CDS -- The ABX and TABX indices -- Relationship among cash, ABCDS, and the ABX -- Credit default swaps on CDOs -- pt. 4. Loss projection and security valuation -- Loss projection for subprime, Alt-A and second lien mortgages -- Valuing the ABX -- ABS CDO losses and valuation -- pt. 5. Subprime meltdown -- The great subprime meltdown of 2007.
9780470243664 (cloth) 047024366X (cloth)
Subprime mortgage loans--United States.
Subprime mortgage loans--United States--Statistics.
Secondary mortgage market--United States.
Credit derivatives--United States.
Collateralized debt obligations--United States.
Swaps (Finance)--United States.
Préstamos hipotecarios subprime --Estados Unidos
Hipotecas--Estados Unidos.
Mercado secundario de hipotecas --Estados Unidos
Derivados de crédito --Estados Unidos
Swaps --Estados Unidos
HG 2040.15 / S941 2008
332.63/244
Incluye índice
pt. 1. Mortgage credit -- Overview of the nonagency mortgage market -- First lien mortgage credit -- Second lien mortgage credit -- pt. 2. Mortgage securitizations -- Features of excess spread/overcollateralization : the principle subprime structure -- Subprime triggers and step-downs -- pt. 3. Credit default swaps on mortgage securities -- Introduction to credit default swap on ABS CDS -- The ABX and TABX indices -- Relationship among cash, ABCDS, and the ABX -- Credit default swaps on CDOs -- pt. 4. Loss projection and security valuation -- Loss projection for subprime, Alt-A and second lien mortgages -- Valuing the ABX -- ABS CDO losses and valuation -- pt. 5. Subprime meltdown -- The great subprime meltdown of 2007.
9780470243664 (cloth) 047024366X (cloth)
Subprime mortgage loans--United States.
Subprime mortgage loans--United States--Statistics.
Secondary mortgage market--United States.
Credit derivatives--United States.
Collateralized debt obligations--United States.
Swaps (Finance)--United States.
Préstamos hipotecarios subprime --Estados Unidos
Hipotecas--Estados Unidos.
Mercado secundario de hipotecas --Estados Unidos
Derivados de crédito --Estados Unidos
Swaps --Estados Unidos
HG 2040.15 / S941 2008
332.63/244