عنوان
پدید آورنده
موضوع
رده
HG6024.A3 .A276 2019eb
HG6024
.
A3
.
A276
2019eb
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
1119532302
(Number (ISBN
9781119532309
Erroneous ISBN
1119532272
Erroneous ISBN
9781119532279
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Securitisation Swaps :
General Material Designation
[Book]
Other Title Information
a Practitioner's Handbook.
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Newark :
Name of Publisher, Distributor, etc.
John Wiley & Sons, Incorporated,
Date of Publication, Distribution, etc.
2018.
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
1 online resource (234 pages)
GENERAL NOTES
Text of Note
Contingent Funding Valuation Adjustment
CONTENTS NOTE
Text of Note
Cover; Title Page; Copyright; Contents; About the Author; Foreword; Acknowledgements; Chapter 1 Introduction; Chapter 2 Overview of Structured Funding; Funding; Funding Instruments; Securitisation; The Securitisation Process; Structured Funding Participants; Asset and Cash Flow Transformation; Summary of Securitisation; Master Trusts; Securitisation and the GFC; Covered Bonds; Documentary Framework; Offer Document; Subscription Agreement; Sale Agreement; Trust Documentation; Servicing Agreement; Swaps; Ancillary Service Provider Documentation; Structured Funding Markets; Risks; Credit Risk
Text of Note
A Simple Pricing Framework for 1-Factor Stochastic FXFull Pricing Framework in A Multi-Factor Setting; Mitigation Strategies; Pre-Trade Structuring versus Real-Time Hedging; Pre-Trade Structuring; Real-Time Hedging; Stress Testing; Chapter 7 Downgrade Risk; Rating Agency Criteria; Criteria Specifics; Examples; Legal Aspects; Updates of Counterparty Criteria; Trade Capture and System Challenges; The Competitive Landscape for Third-Party Swap Providers; Basel III and The Liquidity Coverage Ratio; Liquidity Transfer Pricing; Constructing the LTP Curve; Updating the LTP Curve
Text of Note
Chapter 4 Swaps in Structured FundingAn Overview of Vanilla Swaps; Interest Rate Swaps; Cross-Currency Swaps; Vanilla Swap Pricing; Asset Swaps; Liability Swaps; Standby Swaps; Swap Priority and Flip Clauses; Chapter 5 Swap Prepayment Risk; What is Swap Prepayment Risk?; The Expected Swap Schedule; Balance Guarantee Swaps; Re-Hedging; What Factors Drive Prepayment Rates?; Monte Carlo Modelling of Swap Prepayment Risk; Working with a Mixed Measure; Modelling Prepayment; Modelling the Market Risk Factors; Simulation Methodology; Greeks, Hedging and VaR; Computing Greeks; Hedging; Value-at-Risk
Text of Note
Market RiskLiquidity Risk; Prepayment Risk; Extension Risk; Downgrade Risk; Operational Risk; Legal Risk; Chapter 3 Asset-Backed Debt Structures; Loan Pool Dynamics; Derivation of Eq.; Pool Amortisation; Securitisation Structures; Standalone Structures with Pass-Through Tranches; Standalone Structures with Bullet Tranches; Standalone Structures with Controlled Amortisation Tranches; Tranche Conservation Laws; Master Trust RMBS Structures; Credit Card ABS Structures; Covered Bond Structures; Hard Bullets; Extendible Maturity Structures; Comparison of Structures
Text of Note
XVAComputing XVA for Swaps with Prepayment Risk; Intermediated Asset Swaps; Mitigation Strategies; Risk Transfer; Controlled Amortisation Structures; Reducing Prepayment Volatility via Diversification; Due Diligence and Surveillance; Duty of Continuous Disclosure; Step-Ups; System Issues and Whole-of-Life Deal Management; Trade Capture; Trade Maintenance; Risk Systems; Chapter 6 Swap Extension Risk; What is Swap Extension Risk?; Examples of Extension Risk; Dependence on the Capital Structure: Standalone SPVs; Extension Risk in UK RMBS Master Trusts; Covered Bond Extension Risk
0
8
8
8
8
OTHER EDITION IN ANOTHER MEDIUM
Title
Securitisation Swaps : A Practitioner's Handbook.
International Standard Book Number
9781119532279
TOPICAL NAME USED AS SUBJECT
Derivative securities, Handbooks, manuals, etc.
Derivative securities.
DEWEY DECIMAL CLASSIFICATION
Number
332
.
6457
Edition
23
LIBRARY OF CONGRESS CLASSIFICATION
Class number
HG6024
.
A3
Book number
.
A276
2019eb
PERSONAL NAME - PRIMARY RESPONSIBILITY
Aarons, Mark.
PERSONAL NAME - ALTERNATIVE RESPONSIBILITY
Ender, Vlad.
Wilkinson, Andrew.
ORIGINATING SOURCE
Date of Transaction
20200822154622.0
Cataloguing Rules (Descriptive Conventions))
pn
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
