The Handbook of Structured Finance provides a complete guide to the latest quantitative techniques used to measure and manage risk, find optimum pricing and take advantage of leveraging and marker inefficiencies in the burgeoning structured finance arena.
Written by leading structured finance experts from Standard & Poor's and other market specialists, then handbook explains how to tailor risk and return profiles for specific investors; use the right strategies for hedge funds, different time horizons, and rating constraints; how to neutral measure; and employ scoring, ratings, and spread-base implied ratings in structuring deals.
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The following proven techniques are also detailed step by step in the book:
- Univariate Risk Assessment
- Univarirate Pricing
- Dependency
- Rating Migration and Asset Correlation
- CDO Pricing
- CDO Risk Management
- CDO Trading Risk Management
- Cash and Synthetic CDOs
- The CDO Methodologies Developed by Standard & Poor's
- Recent and Not-So-Recent Developments in
- Synthetic CDOs
- Residential Mortgage-Backed Securities
- Covered Bonds
- Structured Investment Vehicles and Other
- Special-Purpose Companies
- Securitization in Basel II
About the Authors
Arnaud De Servigny was a Managing Director at Standard & Poor's. He was head of quantitative Analytics. He is currently a Managing Director and the head of quantitative analytical at Barclays Wealth.
Norbert Jobst was a Managing Director at Standard & Poor's Structured Finance Ratings and Senior VP for Quantitative Analytical at Dominion Bond Rating Service. He is currently currently a Managing Director and the head of quantitative analytical at Barclays Wealth.
