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Subprime Mortgage Credit Derivatives |  |
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Subprime Mortgage Credit Derivatives | |
SHUMIN LI is Executive Director in the U.S. Securitized Products Strategy Group at UBS.
DOUGLAS J. LUCAS is Executive Director and head of CDO research at UBS.
THOMAS A. ZIMMERMAN is Managing Director in the U.S. Securitized Products Strategy Group at UBS.
FRANK J. FABOZZI, PhD, CFA, is Professor in the Practice of Finance at Yale University's School of Management and the Editor of the Journal of Portfolio Management.
专业书评
Subprime Mortgage Credit Derivatives
Cutting-edge strategies for minimizing the risk of mortgage credit derivative portfolios
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.
