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.
""The Analysis of Structured Securitries is a much needed text book covering an important and growing segment of capital markets. The authors combine rich institutional knowledge with illustrative examples that make the topic especially accessible. For the more technically inclined there are chapters that address the modeling issues in greater detail. I recommend this text to serious students in fixed income markets." —Suresh M. Sundaresan, Chase Manhattan Bank Professor of Finance and Economics, Columbia University New York"
""This is an extremely informative book. Each page is rich with institutional detail and analytical insights. The reader who masters this book will be well prepared to address the important issues in today's structured securities markets." —Perry D. Quick, Vice President, Charles River Associates"
""Much has been written about structured finance and rating, but nothing compares to this truly unique book by Raynes and Rutledge. To my surprise, I could not put it down, as each chapter beckoned of more to come. The authors lay out solutions to the practical problem of rating debt securities in the structured finance context. This book is a "must read" for anyone involved in structured finance. In light of the recent market failure, securities rating is indeed of interest to many investors. In fact, this book offers fascinating reading to anyone interested in the ways we seek to predict the future." —Tamar Frankel, Professor of Law, Boston University Law School"
Preface & Dedication Part I: The Contemporary Framework 1: Market Basics 2: To Rate A Tabula Rasa 3: The Actuarial Method 4: The Default-Based ("CDO") Method 5: The Eclectic Method Endnotes to Part I Part II: Analyzing Structured Securities 6: Towards A Science of Ratings 7: Dynamic Asset Analysis 8: Liabilites Analysis and Structuring 9: The Average Life of Assets and Liabilities 10: PACs and TACs Endnotes to Part II Part III: Applications of Numerical Methods to Structured Finance 11: The Art of Mathematical Modeling 12: Statistical Probability Density Functions 13: Eigenvalues and Eigenvectors 14: Markov Chains 15: Regression Analysis 16: Lower-Upper (LU) Decomposition 17: Covariance Matrix Simulation 18: The Newton-Raphson Nonlinear Optimization Method 19: Tchebychev Polynomials Concluding Remarks & Endnotes to Part III Part IV: Case Studies 20: Automobile Receivable Securitizations 21: CBOs of ABS 22: Aircraft Receivable Securitizations Endnotes to Part IV Part V: Trigger Theory 23: Advanced Structural Features: Triggers Concluding Remarks Appendices
