Subprime Mortgage Credit Derivatives
by LAURIE S. GOODMAN, SHUMIN LI, DOUGLAS J. LUCAS, THOMAS A. ZIMMERMAN, FRANK J. FABOZZI
About the Authors
Laurie S. Goodman is co-head of Global Fixed Income Research and Manager of U.S. Securitized Products Research at UBS. Her Securitized Products Team is responsible for publications and relative value recommendations across the RMBS, ABS, CMBS and CDO markets. As a mortgage analyst, Dr. Goodman has long dominated Institutional Investor's MBS categories, placing first in five categories 40 times over the last 10 years. In 1993, she founded the securitized products research group at Paine Webber, which merged with UBS in 2000. Prior to that, she spent 10 years in senior fixed income research positions at Citicorp, Goldman Sachs, and Merrill Lynch, and gained buy-side experience as a mortgage portfolio manager. She began her career as a Senior Economist at the Federal Reserve Bank of New York. Dr. Goodman holds a BA in Mathematics from the University of Pennsylvania and both MA and Ph.D. degrees in Economics from Stanford University. She has published more than 170 articles in professional and academic journals.
Shumin Li is Executive Director of MBS/ABS Strategy and Research at UBS Investment Bank in New York. Prior to joining UBS in 2006, he worked at Credit Suisse and GMAC-RFC as a Vice President and Senior Analyst on residential mortgage-related research that includes prepayment and default modeling, structuring, and relative value analysis. From 2000 to 2004, Mr. Li worked at Fannie Mae as a Senior Financial Engineer where he was responsible for developing prepayment ...