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Subprime Mortgage Credit Derivatives

Subprime Mortgage Credit Derivatives
Author: Laurie S. Goodman
Publisher: John Wiley & Sons
Total Pages: 352
Release: 2008-06-02
Genre: Business & Economics
ISBN: 0470392746
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Mortgage credit derivatives are a risky business, especially of late. Written by an expert author team of UBS practitioners-Laurie Goodman, Shumin Li, Douglas Lucas, and Thomas Zimmerman-along with Frank Fabozzi of Yale University, Subprime Mortgage Credit Derivatives covers state-of-the-art instruments and strategies for managing a portfolio of mortgage credits in today's volatile climate. Divided into four parts, this book addresses a variety of important topics, including mortgage credit (non-agency, first and second lien), mortgage securitizations (alternate structures and subprime triggers), credit default swaps on mortgage securities (ABX, cash synthetic relationships, CDO credit default swaps), and much more. In addition, the authors outline the origins of the subprime crisis, showing how during the 2004-2006 period, as housing became less affordable, origination standards were stretched-and when home price appreciation then turned to home price depreciation, defaults and delinquencies rose across the board. The recent growth in subprime lending, along with a number of other industry factors, has made the demand for timely knowledge and solutions greater than ever before, and this guide contains the information financial professionals need to succeed in this challenging field.

Understanding the Securitization of Subprime Mortgage Credit

Understanding the Securitization of Subprime Mortgage Credit
Author: Adam B. Ashcraft
Publisher: DIANE Publishing
Total Pages: 76
Release: 2010-03
Genre:
ISBN: 1437925146
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Provides an overview of the subprime mortgage securitization process and the seven key informational frictions that arise. Discusses the ways that market participants work to minimize these frictions and speculate on how this process broke down. Continues with a complete picture of the subprime borrower and the subprime loan, discussing both predatory borrowing and predatory lending. Presents the key structural features of a typical subprime securitization, documents how rating agencies assign credit ratings to mortgage-backed securities, and outlines how these agencies monitor the performance of mortgage pools over time. The authors draw upon the example of a mortgage pool securitized by New Century Financial during 2006. Illustrations.

Structured Products and Related Credit Derivatives

Structured Products and Related Credit Derivatives
Author: Brian P. Lancaster
Publisher: John Wiley & Sons
Total Pages: 545
Release: 2008-06-20
Genre: Business & Economics
ISBN: 047036923X
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Filled with the insights of numerous experienced contributors, Structured Products and Related Credit Derivatives takes a detailed look at the various aspects of structured assets and credit derivatives. Written over a period spanning the greatest bull market in structured products history to arguably its most challenging period, this reliable resource will help you identify the opportunities and mitigate the risks in this complex financial market.

Credit Securitisations and Derivatives

Credit Securitisations and Derivatives
Author: Daniel Rösch
Publisher: John Wiley & Sons
Total Pages: 464
Release: 2013-04-03
Genre: Business & Economics
ISBN: 1119966043
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A comprehensive resource providing extensive coverage of the state of the art in credit secruritisations, derivatives, and risk management Credit Securitisations and Derivatives is a one-stop resource presenting the very latest thinking and developments in the field of credit risk. Written by leading thinkers from academia, the industry, and the regulatory environment, the book tackles areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitisations and credit derivatives; credit portfolio risk; credit portfolio risk tranching; credit ratings for securitisations; counterparty credit risk and clearing of derivatives contracts and liquidity risk. As well as a thorough analysis of the existing models used in the industry, the book will also draw on real life cases to illustrate model performance under different parameters and the impact that using the wrong risk measures can have.

Subprime Mortgage Defaults and Credit Default Swaps

Subprime Mortgage Defaults and Credit Default Swaps
Author: Eric Arentsen
Publisher:
Total Pages: 53
Release: 2014
Genre:
ISBN:
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We offer the first empirical evidence on the adverse effect of credit default swap (CDS) coverage on subprime mortgage defaults. Using a large database of privately securitized mortgages, we find that higher defaults concentrate in mortgage pools with concurrent CDS coverage and within these pools the loans originated after or shortly before the start of CDS coverage have an even higher delinquency rate. The results are robust across different zip code and origination quarter cohorts. Overall, we show that CDS coverage helped drive higher mortgage defaults during the financial crisis.

Us-Subprime Crisis - to What Extent Can You Safeguard Financial System Risks?

Us-Subprime Crisis - to What Extent Can You Safeguard Financial System Risks?
Author: L. H. Jansen
Publisher: GRIN Verlag
Total Pages: 89
Release: 2008
Genre: Business & Economics
ISBN: 3638942600
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Seminar paper from the year 2008 in the subject Economics - Finance, grade: 1,7, University of Applied Sciences Essen, course: General Economics, 94 entries in the bibliography, language: English, abstract: The subprime mortgage financial crisis is an ongoing financial crisis which was caused by the sharp rise in the US subprime mortgage market that began in the United States in fall 2006 and became to a global financial crisis in July 2007. Rising interest rates increased the monthly payments on newly-popular adjustable rate mortgages and property values suffered declines from the demise of the US housing bubble, leaving home owners unable to meet financial commitments and lenders without a means on their losses. Many observers believe this has resulted in a severe credit crunch, threatening the solvency of a number of financial institutions and marginal banks. Declines in stock markets worldwide, several worthless hedge funds, central bank interventions, contractions of retail profits and bankruptcy of several mortgage lenders are some of the results we saw in this subprime crisis. The crisis was caused by several reasons, e. g. the developments on the US housing market, the insolvency of many American loan takers, the absence of appropriate diligence of the financial institutions and within the created financial assets, the delayed intervention of the regulating authorities and the activities of the rating agencies while evaluating the credit derivatives and securitizations. The theoretical optimum for an investment is a high return without any risk and without loosing liquidity. The real situation shows that an investor has to match these three points optimal for his own investment strategy. A higher return is always linked to a higher risk and increased uncertainty. And if the money is expended the investor looses a part of his liquidity. Credit derivatives and securitizations are used to separate the risk of credits from the original credit relation. These in

The Financial Crisis Inquiry Report

The Financial Crisis Inquiry Report
Author: Financial Crisis Inquiry Commission
Publisher: Cosimo, Inc.
Total Pages: 692
Release: 2011-05-01
Genre: Political Science
ISBN: 1616405414
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The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.

US Subprime and Financial Crisis - To what Extent Can You Safeguard Financial System Risks?

US Subprime and Financial Crisis - To what Extent Can You Safeguard Financial System Risks?
Author: Leo H. Jansen
Publisher: Grin Publishing
Total Pages: 88
Release: 2009-08
Genre:
ISBN: 9783640398614
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Research Paper (postgraduate) from the year 2008 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, University of applied sciences, Neuss, course: General Economics, language: English, abstract: The subprime mortgage financial crisis is an ongoing financial crisis which was caused by the sharp rise in the US subprime mortgage market that began in the United States in fall 2006 and became to a global financial crisis in July 2007. Rising interest rates increased the monthly payments on newly-popular adjustable rate mortgages and property values suffered declines from the demise of the US housing bubble, leaving home owners unable to meet financial commitments and lenders without a means on their losses. Many observers believe this has resulted in a severe credit crunch, threatening the solvency of a number of financial institutions and marginal banks. Declines in stock markets worldwide, several worthless hedge funds, central bank interventions, contractions of retail profits and bankruptcy of several mortgage lenders are some of the results we saw in this subprime crisis. The crisis was caused by several reasons, e. g. the developments on the US housing market, the insolvency of many American loan takers, the absence of appropriate diligence of the financial institutions and within the created financial assets, the delayed intervention of the regulating authorities and the activities of the rating agencies while evaluating the credit derivatives and securitizations. The theoretical optimum for an investment is a high return without any risk and without loosing liquidity. The real situation shows that an investor has to match these three points optimal for his own investment strategy. A higher return is always linked to a higher risk and increased uncertainty. And if the money is expended the investor looses a part of his liquidity. Credit derivatives and securitizations are used to separate the risk of credits from the

Understanding Credit Derivatives and Related Instruments

Understanding Credit Derivatives and Related Instruments
Author: Antulio N. Bomfim
Publisher: Academic Press
Total Pages: 421
Release: 2015-11-23
Genre: Business & Economics
ISBN: 0128004908
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Understanding Credit Derivatives and Related Instruments, Second Edition is an intuitive, rigorous overview that links the practices of valuing and trading credit derivatives with academic theory. Rather than presenting highly technical explorations, the book offers summaries of major subjects and the principal perspectives associated with them. The book's centerpiece is pricing and valuation issues, especially valuation tools and their uses in credit models. Five new chapters cover practices that have become commonplace as a result of the 2008 financial crisis, including standardized premiums and upfront payments. Analyses of regulatory responses to the crisis for the credit derivatives market (Basel III, Dodd-Frank, etc.) include all the necessary statistical and mathematical background for readers to easily follow the pricing topics. Every reader familiar with mid-level mathematics who wants to understand the functioning of the derivatives markets (in both practical and academic contexts) can fully satisfy his or her interests with the comprehensive assessments in this book. Explores the role that credit derivatives played during the economic crisis, both as hedging instruments and as vehicles that potentially magnified losses for some investors Comprehensive overview of single-name and multi-name credit derivatives in terms of market specifications, pricing techniques, and regulatory treatment Updated edition uses current market statistics (market size, market participants, and uses of credit derivatives), covers the application of CDS technology to other asset classes (CMBX, ABX, etc.), and expands the treatment of individual instruments to cover index products, and more

Credit Derivatives and Structured Credit Trading

Credit Derivatives and Structured Credit Trading
Author: Vinod Kothari
Publisher: John Wiley & Sons
Total Pages: 523
Release: 2011-12-15
Genre: Business & Economics
ISBN: 1118178785
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Credit derivatives as a financial tool has been growing exponentially from almost nothing more than seven years ago to approximately US$5 trillion deals completed by end of 2005. This indicates the growing importance of credit derivatives in the financial sector and how widely it is being used these days by banks globally. It is also being increasingly used as a device of synthetic securitisation. This significant market trend underscores the need for a book of such a nature. Kothari, an undisputed expert in credit derivatives, explains the subject matter using easy-to-understand terms, presents it in a logical structure, demystifies the technical jargons and blends them into a cohesive whole. This revised book will also include the following: - New credit derivative definitions - New features of the synthetic CDO market - Case studies of leading transactions of synethetic securitisations - Basle II rules - The Consultative Paper 3 has significantly revised the rules, particularly on synthetic CDOs - Additional inputs on legal issues - New clarifications on accounting for credit derivatives/credit linked notes