Subprime Mortgage Credit Derivatives
Subprime Mortgage Credit Derivatives
复制标题
次级抵押贷款信用衍生品
DOI：
--
复制
发表时间：
2008
期刊：
影响因子：
--
通讯作者：
F. Fabozzi
中科院分区：
文献类型：
--
作者：
L. Goodman;Shumin Li;Douglas J. Lucas;Thomas A. Zimmerman;F. Fabozzi
前言。关于作者。第一部分。抵押信贷。第一章非代理抵押贷款市场概述。发行量。 2007-2008 年次贷危机的根源。非代理抵押贷款的定义特征。贷款特征。风险分层。代理执行与非代理执行。概括。第 2 章。第一留置权抵押信贷。抵押信贷的概念和衡量标准。抵押品特征与抵押信贷：2006年“四个C”（信用、抵押品、能力和品格）的进攻。最终游戏：取消抵押品赎回权、REO 时间表和严重性。不可观察在 2006 年次级抵押贷款信贷中的作用。第 3 章。第二留置权抵押信贷。两种类型的秒。几秒钟内风险就更高。最近的表现。为什么损失更高？概括。第二部分。抵押贷款证券化。第 4 章：超额利差/超额抵押的特征：次级抵押贷款的原理结构。基于超额利差的信用增级。 OC 在 Alt-A-Land。 OC 内部工作。概括。第 5 章：次贷触发因素和降压。降压和触发器。 BBB Stack（位于刀锋上）。触发因素和损失水线的影响。采样次贷宇宙。 2000 年至 2003 年交易逐步缩减摘要。降压和信用效应。概括。第三部分。抵押证券信用违约掉期。第 6 章 ABS CDS 信用违约互换简介。公司 CDS 基础知识和术语。公司 CDS 和 ABS CDS 之间的差异。 ABS CDS 的困难。 ABS CDS 对 ABS CDO 管理的影响。两种新型 ABS CDO。概括。第 7 章 ABX 和 TABX 指数。背景。交易如何进入指数。索引机制。随着时间的推移指数定价。 ABX 分批交易。 TABX 定价。 TABX 与 CDO。概括。第 8 章现金、ABCDS 和 ABX 之间的关系。基本合同差异 - 单一名称 ABCDS/ABX 指数/现金。供应/需求技术。是什么让套利不消失？概括。附录：ABCDS 对 CDO 经理的重要性。第 9 章 CDO 信用违约掉期 CDO CDS 术语。 CDO 信用问题及其后果。替代利息上限选项。杂项条款。现金 CDO 与 CDO CDS。退出 CDO CDS。评级机构对通过 CDS 出售保护的 CDO 表示担忧。概括。第四部分。损失预测和证券估值。第 10 章。次级、Alt-A 和第二留置权抵押贷款的损失预测。预测损失的两种方法。默认时间。预测附带损失的步骤。默认时序曲线的优点和缺点。历史模型拟合与实际模型拟合。默认时序不等于丢失时序。替代规范。 Alt-A 和封闭式秒针。概括。第 11 章评估 ABX。 ABX 指数基本估值审查。估值方法审查。计量经济学方法。 ABX 估值。 ABX 估值的“简单”或自己动手的方法。次贷停摆后的 ABX。概括。附录：原始“基本”定价结果（以及减记债券数量）和新的“停工”估计。第 12 章 ABS CDO 损失和估值。抵押贷款-抵押债券-ABS CDO 链。抵押贷款交易损失。次级抵押贷款债券损失。 Alt-A、第二留置权和优质抵押贷款债券损失。 2006 年 7 月夹层 ABS CDO 中抵押债券损失的汇总。 2005 年夹层 ABS CDO 中抵押债券损失的合计。 CDO 损失的驱动因素和经理的角色。 ABS CDO 估值和 CDO 结构。概括。第五节。次贷危机。第 13 章 2007 年次贷大崩溃。早期的次贷危机。良性循环。提前付款违约：事情正在发生变化的第一个迹象。 2006年的难题。银行监管机构：不是太少，而是为时已晚。谁来拯救次贷借款人？证券化是罪魁祸首吗？缺乏透明度。溢出。次贷的未来。指数。
Preface. About The Authors. Part One. Mortgage Credit. Chapter 1. Overview of The Nonagency Mortgage Market. Issuance Volumes. Roots Of The 2007-2008 Subprime Crisis. Defining Characteristics Of Nonagency Mortgages. Loan Characteristics. Risk Layering. Agency versus Nonagency Execution. Summary. Chapter 2. First Lien Mortgage Credit. Concepts and Measurements of Mortgage Credit. Collateral Characteristics and Mortgage Credit: Assault of the Four Cs in 2006 (Credit, Collateral, Capacity And Character). The End Game: Foreclosure, REO Timeline, and Severity. The Role of Unobservable in 2006 Subprime Mortgage Credit. Chapter 3. Second Lien Mortgage Credit. Two Types of Seconds. Higher Risks in Seconds. Recent Performance. Why Higher Losses? Summary. Part Two. Mortgage Securitizations. Chapter 4. Features of Excess Spread/Overcollateralization: The Principle Subprime Structure. Excess Spread-Based Credit Enhancement. OC In Alt-A-Land. OC Internal Workings. Summary. Chapter 5. Subprime Triggers and Step-Downs. The Step-Down and the Trigger. BBB Stack (on The Knife's Edge). Effect of Triggers and the Loss Waterline. Sampling the Subprime Universe. 2000-2003 Deal Step-Down Summary. Step-Down and Credit Effects. Summary. Part Three. Credit Default Swaps On Mortgage Securities. Chapter 6. Introduction To Credit Default Swap On ABS CDS. Corporate CDS Fundamentals and Terminology. Differences Between Corporate CDS and ABS CDS. Difficulties in ABS CDS. ABS CDS Effect on ABS CDO Management. Two New Types of ABS CDOs. Summary. Chapter 7. The ABX and TABX Indices. Background. How a Deal Gets into the Index. Index Mechanics. Index Pricing Over Time. ABX Tranche Trading. TABX Pricing. TABX versus CDOs. Summary. Chapter 8. Relationship among Cash, ABCDS, and the ABX. Fundamental Contractual Differences-Single Name ABCDS/ABX Index/Cash. Supply/Demand Technicals. What Keeps The Arbitrage From Going Away? Summary. Appendix: Importance of ABCDS to CDO Managers. Chapter 9. Credit Default Swaps on CDOs CDO CDS Nomenclature. CDO Credit Problems and their Consequences. Alternative Interest Cap Options. Miscellaneous Terms. Cash CDO versus CDO CDS. Exiting a CDO CDS. Rating Agency Concerns on CDOs that Sell Protection via CDO CDS. Summary. Part Four. Loss Projection and Security Valuation. Chapter 10. Loss Projection for Subprime, Alt-A, and Second Lien Mortgages. Two Ways Of Projecting Loss. Default Timing. Steps In Predicting Collateral Losses. Pros and Cons of the Default Timing Curve. Historical Model Fit versus Actual. Default Timing Is Not Equal To Loss Timing. An Alternative Specification. Alt-A And Closed-End Seconds. Summary. Chapter 11. Valuing the ABX. Review of Basic Valuation for ABX Indices. Review of Valuation Approaches. Econometric Approach. ABX Valuation. The "Simple" or Do-It-Yourself Approach To ABX Valuation. ABX After Subprime Shutdown. Summary. Appendix: Results of Original "Base" Pricing (And Number of Bonds Written Down) and the New "Shutdown" Estimates. Chapter 12. ABS CDO Losses And Valuation. The Mortgage Loan-Mortgage Bond-ABS CDO Chain. Mortgage Deal Losses. Subprime Mortgage Bond Losses. Alt-A, Second Lien, And Prime Mortgage Bond Losses. Aggregating Mortgage Bond Losses In 2006-7 Mezzanine ABS CDOs. Aggregating Mortgage Bond Losses In 2005 Mezzanine ABS CDOs. Drivers of CDO Losses And The Role Of The Manager. ABS CDO Valuation And CDO Structure. Summary. Section Five. Subprime Meltdown. Chapter 13. The Great Subprime Meltdown Of 2007. An Earlier Subprime Crisis. The Virtuous Cycle. Early-Pay Defaults: The First Hint Things Were Changing. The 2006 Conundrum. Banking Regulators: Not Too Little But Too Late. Who Will Rescue the Subprime Borrower? Is Securitization The Villain? Lack of Transparency. Spillover. Future for Subprime. Index.