The Securitization Markets Handbook

Charles Austin Stone 지음

Bloomberg Press 2012년 08월 21일 출간

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A comprehensive guide to the continuously evolving world of securitizationThe Second Edition of The Securitization Markets Handbook is a valuable resource for both experienced money managers trying to put a securitization strategy into place as well as newcomers looking to acquire a broad and strong foundation in this discipline. This edition takes a close look at the pre- and post-crash mortgage market and the mortgage-backed securities based on those mortgages, as well as other asset-backed securities including commercial paper or credit cards.The crash of the subprime market and the failure of the asset-backed markets offer an opportunity to learn about banking finance, specifically off-balance sheet finance, and the many costly mistakes that resulted in one of the most severe downturns in financial markets. With this book, you'll discover why certain mortgage and asset-backed securities imploded and others didn't. This new edition examines why the market failed and how the next crisis can be averted or made less severe. It also explains why securitization remains a primary source of capital for the mortgage market, credit card market, home equity market, auto loan market, and segments of the commercial paper market.Offers an informed overview of how the securitization market works, how to make money in it, and what's next for asset- and mortgage-backed securities after the crisisContains new chapters on CDOs and SIVs, along with a history of the growth and crash of the subprime market, asset-backed securities, and home equity lines of creditWritten by securitization experts Charles Stone and Anne ZissuUpdated to reflect the current market environment, the Second Edition of The Securitization Markets Handbook offers clear, comprehensive guidance to these complex markets.

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Acknowledgments ixIntroduction xiPART ONE Key Structures and Cash Flow DynamicsCHAPTER 1 Mortgage-Backed Securities: Origins of the Market 3CHAPTER 2 Price Dynamics of Mortgages and Cash Flows 79CHAPTER 3 Valuation of Mortgage-Backed Securities 97CHAPTER 4 Other Structures in Asset-Backed Securities:CMOs, PACs, Floaters, Inverse Floaters, CDOs and CDOs-squared, and Synthetic CDOs 131PART TWO Corporate Debt and the Securitization MarketsCHAPTER 5 How Ford Motor Credit Corporation Has Used Securitization 163CHAPTER 6 Asset-Backed Commercial Paper 219PART THREE Securitization of Revolving CreditCHAPTER 7 Dealer Floor Plan Loans 263CHAPTER 8 Credit Card Receivables 283PART FOUR Searching for Value in the Mortgage- and Asset-Backed MarketsCHAPTER 9 Investment, Speculation, and Hedging 327CHAPTER 10 Credit Risk and Credit Enhancement 385CHAPTER 11 Dissecting the Risks of a Pool of Securitized Options ARMs 397About the Authors 429Index 431

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저자(글) Charles Austin Stone

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CHARLES AUSTIN STONE, PhD, is a Professor of Finance and the Deputy Chairman of the MS in Business Economics program at Brooklyn College, CUNY. He is a leading expert in asset#45;backed securities, has edited several books on the subject, and coauthored, with Anne Zissu, the first edition of this book. Stone#39;s research has appeared in leading academic journals, including the Journal of Real Estate Finance and Economics, FNMA#39;s Journal of Housing Research, the Journal of Derivatives, the Journal of Applied Corporate Finance, the Journal of Risk Finance, the Journal of Alternative Investments, and Financial Markets, Institutions, and Instruments. He has been invited to lecture on securitization at various major financial and academic institutions.ANNE ZISSU, PhD, is the Chairperson of the Department of Business at Citytech, CUNY, and a Research Fellow at NYU Poly in the Department of Financial and Risk Engineering. She is a leading expert in asset#45;backed securities and senior life settlements, and has edited several books on the subject. Her research has appeared in leading academic journals, including the Journal of Real Estate Finance and Economics, FNMA#39;s Journal of Housing Research, the Journal of Derivatives, and many others. Professor Zissu has been invited to lecture on securitization at various major financial and academic institutions. Professor Zissu has acted as an expert witness on a number of cases related to securitization and senior life settlements.