Titlebook: Securitization Economics; Deconstructing the E Laurent Gauthier Textbook 2020 Springer Nature Switzerland AG 2020 Structured finance.Securi

vocation

Structuring Securitized Bonds,few examples. We explain the logic with which various layers of structures are applied. We provide simple algorithmic descriptions of most of the structuring techniques we discuss, and we measure their efficiency across a large range of simulated scenarios.

Perigee

Terminal

Overview of Loan Portfolio Analysis,pecific formal and practical tools for their analysis and we go through the main ones in this part of the book. The first section categorizes the various types of loans that one might encounter, and explains why at the core all these sorts of loans can be analyzed in a similar way. We nevertheless c

惹人反感

Incentives and the Economics of Securitization,ook into various economic models that can explain not only why securitization actually exists, but also why it makes use of certain fundamental structuring tools. We effectively decompose the notion of the existence of securitization into the existence of its fundamental components. First, for secur

使厭惡

Problems with Securitization,curitization using the loan-level performance data on agency mortgages. In particular, we show the massive jump in delinquencies on loans that were thought to be of the best quality. Then, we walk through theoretical and empirical models that explain how securitization would have favored a decline i

corpuscle

要素

暗指

老巫婆

Overview of Securitization and Securitized Products,ics applicable to these bonds, as they are quite particular and in some cases fairly complex. Finally, we briefly address some valuation techniques for securitized bonds and stress the importance of negative convexity.

forager

The Economics of Securitization Structuring, to account for structuring techniques such as excess-spread or NIMs. We explain securitized product investor’s desire for par-priced bonds and show how this drives the use of complex interest and principal allocation methods. Finally, we walk through several empirical studies on structuring, which put the theoretical models to the test.