Securitisation Swaps

Acknowledgements

As many authors before us have observed, writing a book has turned out to be a significantly larger task than first imagined. It is a good thing that many authors only realise this in hindsight, else there may be considerably fewer books! It is therefore with great pleasure that we acknowledge the following people for their invaluable assistance to us over this journey, for their thoughtful comments and expert insight across quantitative finance, securitisation origination, derivatives and securitisation law, product control, risk management and structuring. We sincerely thank: Craig Stevens, David Addis, Dmitry Pugachevsky, Glen Rayner, Jamie Ng, Jenny Schlosser, Michael Liberman, Robert Phillips and Rohan Douglas. Any errors that remain are solely our own. We would also like to thank Alan Brace for permission to quote his mixed measure result in Chapter 5 and Quantifi for providing analytics for an XVA example in Chapter 7.

We also wish to thank many of our former/current colleagues and friends for assisting the build out of a successful securitisation swaps business. Particular thanks are due to Chauncy Stark and Lee Kelly for their vision, leadership, support and business acumen; Tony Kelly, Grant Armstrong and Andrew Downes for their outstanding skill, dedication and good humour; Jacqui Fox and Sarah Samson for their fantastic collaboration and leadership in building Australia's top‐rated securitisation origination business; and Dennis Craig for his high ...