Synthetic and Structured Assets

Erik Banks

288 pages, parution le 27/02/2006

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Résumé

Organized along product lines, the book will analyze many of the original classes of structured assets, including mortgage- and asset-backed securities and strips, as well as the newest structured and synthetic instruments, including exchange-traded funds, credit derivative-based collateralized debt obligations, total return swaps, contingent convertibles, and insurance-linked securities.

Two introductory chapters will outline the scope of the market, key definitions, participant motivations/goals, economics of structuring and synthetic replication, and the central "building blocks" used in the creation of synthetic/structured assets (including on-balance sheet assets and liabilities, derivatives, shelf registration debt programs, private placements, trusts, and special purpose entities). Eight product chapters will then examine the main instruments of the marketplace: mortgage- and asset-backed securities, stripped/reconstituted government securities, collateralized debt obligations, structured notes, insurance-linked securities, exchange-traded funds, convertible bond variations, and derivatives/synthetic asset replication. Each product chapter will contain product descriptions, structural features (e.g., trading conventions, settlement), arbitrage/investment drivers, and various worked examples and diagrams that emphasize practical investment and risk applications; financial mathematics will be kept to a minimum. A concluding chapter will review the essential risk, legal, regulatory, and accounting features of synthetic and structured assets in the world's major markets.

L'auteur - Erik Banks

Erik Banks, an independent risk consultant, writer, and lecturer, has held senior risk management positions at several global financial institutions over the past 20 years, including Merrill Lynch, Citibank, and XL Capital. He is the author of 18 books on risk, derivatives, governance, and merchant banking, including the John Wiley titles Alternative Risk Transfer, Exchange-Traded Derivatives, The Simple Rules of Risk, and E-Finance.

Sommaire

Introduction to Synthetic and Structured Assets
Financial Building Blocks
Callable, Puttable, and Stripped Securities
Mortgage- and Asset-backed Securities
Structured Notes and Loans
Collateralized Debt Obligations
Insurance-linked Securities and Contingent Capital
Convertible Bonds and Equity Hybrids
Investment Funds
Derivative Replication, Repackaging, and Structuring
Risk, Legal, and Regulatory Issues
Selected References

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Erik Banks
Parution	27/02/2006
Nb. de pages	288
Format	17 x 25,5
Couverture	Relié
Poids	680g
Intérieur	Noir et Blanc
EAN13	9780470017135
ISBN13	978-0-470-01713-5