The Elements of Structured Finance

The Elements of Structured Finance

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For all but the most credit-worthy companies, it is more efficient to finance large pools of assets that have predictable behavioral characteristics through non-standard arrangements. These off-balance sheet structures allow credit exposures to be tailored to investor risk, asset class, and an ever-increasing diversity of idiosyncratic needs on the part of issuers and investors. The discipline that addresses these structures, which is called structured finance or securitization, is almost twenty years old, and has become a pervasive element of modern financial management. Yet, it has not been systematically covered in a textbook designed for both the school and workplace contexts. The Elements of Structured Finance, the text version of a program of instruction in structured finance that the authors have offered at NYU and Hong Kong University, as well as in private training programs and consultancies, fills this void spectacularly. Raynes and Rutledge, two very highly regarded teachers and consultants in the field, bring clarity and logic to an inherently complex and frightening area of finance, using their extensive experience working with many of the top Wall Street securities houses. The book begins with the relatively simple concepts of static valuation models and the benchmark pool, and takes the reader through the more esoteric features of dynamic risk analysis, thus serving as both an introduction for the beginner and a helpful reference for the professional. In addition to participants in structured finance programs, this book will appeal to structured finance analysts and managers at banks, asset management companies, insurance companies, and a wide variety of other corporations.show more

Product details

  • Hardback | 688 pages
  • 165.1 x 236.22 x 43.18mm | 1,088.62g
  • Oxford University Press Inc
  • New York, United States
  • English
  • New.
  • 96 black and white halftones, 37 line illustrations
  • 0195179986
  • 9780195179989
  • 1,988,902

About Ann Rutledge

Sylvain Raynes and Ann Rutledge are adjunct assistant professors of structured finance at Baruch College in New York City as well as the authors of the book The Analysis of Structured Securities published by Oxford University Press in August 2003. They are founding principals of the New York-based, structured credit metrics boutique, R&R Consulting. Clients of R&R include rating agencies, governments, universities, and global banks.show more

Review quote

Ann Rutledge and Sylvain Raynes offer a timely insight into the intricate inner-workings of structured finance. Oft overlooked financial theory is explored and explained with expert precision, making the case for the industry to take a thorough and honest look at financial engineering and the essence of 'deal-hood.' Those who dive into this book will find themselves enriched with a deeper understanding and an edge amongst their peers. * Susan M. Wachter, Richard B. Worley Professor of Financial Management, University of Pennsylvania *show more

Table of contents

INTRODUCTION ; 1. Elements of Securitization Law ; 2. Elements of Securitization Accounting ; 3. Deconstructing the Corporation: Operational Issues ; 4. Static Structuring Analysis: the Basic Model of Debt Repackaging ; 5. Piecing the Credit Together ; 6. Asset Side Analysis ; 7. Liability Side Analysis ; 8. Static Approaches to Revolving Mode Structured Securities ; 9. Simulation and Valuation ; 10. Analysis of Prepayment-Sensitive Structured Securities (by Nenad Ilincic) ; 11. PACS and TACs ; 12. Issues in Intermediate Cash Flow Modeling ; 13. Nonlinear Convergence Technique ; PART II: ADVANCED STRUCTURED ANALYSIS ; PROLOGUE TO ADVANCED SECTION ; 14. The Way of the Deal ; 15. Data Analysis ; 16. Non-Stationary Markov Chains and Cash Flows ; 17. Recovery Modeling ; 18. Covariance Matrix Simulation and Random Numbers ; 19. Assembling the Building Blocks of the Cash Flow Model ; 20. Liability Modeling ; 21. Triggers ; 22. The Valuation of Structured Securities ; 23. Introduction to Revolving Periods ; 24. Special Topics in Structured Finance ; 25. Epilogueshow more

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