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Mortgage credit derivatives are a risky business, especially oflate. Written by an expert author team of UBS practitioners-LaurieGoodman, Shumin Li, Douglas Lucas, and Thomas Zimmerman-along withFrank Fabozzi of Yale University, Subprime Mortgage CreditDerivatives covers state-of-the-art instruments and strategiesfor managing a portfolio of mortgage credits in today's volatileclimate.

Divided into four parts, this book addresses a variety of importanttopics, including mortgage credit (non-agency, first and secondlien), mortgage securitizations (alternate structures and subprimetriggers), credit default swaps on mortgage securities (ABX, cashsynthetic relationships, CDO credit default swaps), and much more.In addition, the authors outline the origins of the subprimecrisis, showing how during the 2004-2006 period, as housing becameless affordable, origination standards were stretched-and when homeprice appreciation then turned to home price depreciation, defaultsand delinquencies rose across the board.

The recent growth in subprime lending, along with a number of otherindustry factors, has made the demand for timely knowledge andsolutions greater than ever before, and this guide contains theinformation financial professionals need to succeed in thischallenging field.
Published: Wiley on
ISBN: 9780470392744
List price: $80.00
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