The Analysis of Structured Securities —— Precise Risk Measurement and Capital Allocation

----- 结构性证券分析：精确风险度量与资本配置

ISBN: 9780195152739 出版年：2003 页码：462 Raynes, Sylvain Rutledge, Ann Oxford University Press

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