| Document Type
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BL
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| Record Number
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840553
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| Main Entry
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Aarons, Mark.
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| Title & Author
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Securitisation Swaps : : a Practitioner's Handbook.
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| Publication Statement
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Newark :: John Wiley & Sons, Incorporated,, 2018.
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| Page. NO
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1 online resource (234 pages)
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| ISBN
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1119532302
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: 9781119532309
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1119532272
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9781119532279
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| Notes
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Contingent Funding Valuation Adjustment
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| Contents
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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
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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
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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
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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
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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
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| Subject
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Derivative securities, Handbooks, manuals, etc.
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| Subject
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Derivative securities.
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| Dewey Classification
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332.6457
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| LC Classification
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HG6024.A3.A276 2019eb
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| Added Entry
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Ender, Vlad.
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Wilkinson, Andrew.
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