An Essential Guide to Subprime Mortgage Credit Derivatives: Including the Latest Strategies and Instruments for Managing a Portfolio of Mortgage Credits

2008-07-24 22:08:05 -

www.researchandmarkets.com - Research and Markets (www.researchandmarkets.com/research/07d090/subprime_mortgage) has announced the addition of the "Subprime Mortgage Credit Derivatives" report to their offering.

Mortgage credit derivatives are a risky business, especially of late. Written by an expert author team of UBS practitioners-Laurie Goodman, Shumin Li, Douglas Lucas, and Thomas Zimmerman-along with Frank Fabozzi of Yale University, Subprime Mortgage Credit Derivatives covers state-of-the-art instruments and strategies for managing a portfolio of mortgage credits in today's volatile climate.

Divided into four parts, this book addresses a variety of important topics, including mortgage credit (non-agency, first and second lien), mortgage securitizations (alternate structures and subprime triggers), credit default swaps on mortgage securities (ABX, cash synthetic relationships, CDO credit default swaps), and much more. In addition, the authors outline the origins of the subprime crisis, showing how during the 2004-2006 period, as housing became less affordable, origination standards were stretched-and when home price appreciation then turned to home price depreciation, defaults and delinquencies rose across the board.

The recent growth in subprime lending, along with a number of other industry factors, has made the demand for timely knowledge and solutions greater than ever before, and this guide contains the information financial professionals need to succeed in this challenging field.

Key Topics Covered:

-- Overview Of The Non-Agency Mortgage Market.

-- First Lien Mortgage Credit.

-- Second Lien Mortgage Credit.

-- Features Of Excess Spread/Overcollateralization: The Principle Subprime Structure.

-- Subprime Triggers And Stepdowns.

-- 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.

-- Loss Projection For Subprime, Alt-A, And Second Lien Mortgages.

-- Valuing The ABX.

-- ABS CDO Losses And Valuation.

-- The Great Subprime Meltdown Of 2007.

For more information visit www.researchandmarkets.com/research/07d090/subprime_mortgage

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