June 2008
Beginner
350 pages
8h 17m
English
book
Subprime Mortgage Credit Derivatives
by LAURIE S. GOODMAN, SHUMIN LI, DOUGLAS J. LUCAS, THOMAS A. ZIMMERMAN, FRANK J. FABOZZI
Content preview from Subprime Mortgage Credit DerivativesBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
Index
AAA paydowns, acceleration, 119
ABCDS. See Asset-backed credit default swap
ABSCP. See Asset-backed securities commercial paper
ABX.HE indices. See Asset-backed credit default benchmark indices
ABX indices. See Asset-backed credit default benchmark indices
Acceleration. See Senior tranches impact, 289
Additional fixed amounts, 135–1
Adjustable rate mortgages (ARMs), 16. See also
Hybrid ARM; Option ARM
CLTV/IO levels, 64
interest-only period, 17
percentage, 149
resets, 243
rate, relationship. See Subprime loans
usage, 204
AFC. See Available funds cap
Affordability benchmark, change, 301
Affordability products, 17
increase, 18
nonagency execution. See Mortgages
share, increase, 62
usage, delay, 8
Age-dependent effects, 193, 215
Agency execution
loans, qualification, 22
nonagency execution, contrast, 22–1
possibility, 8
Agency loans, level, 14
Agency MBSs, 89
backing, 3
Agency mortgages
GNMA guarantee, 3
usage, 3
Agency risk-based pricing, occurrence, 8
Agency share, decrease, 8
Alt-A 60/90+DQ, transition probability, 208e
Alt-A bond losses, 276
Alt-A collateral, 97
structures, comparison, 101e
Alt-A cumulative default/loss/severity, 208e
examples, cash flows, 99e
principal cash flows, 100e
residual/principal cash flows, 99e
six-pack structure, usage, 92
Alt-A default timing curve, 207e
Alt-A hybrid ARMs, comparison (problem), 18
Alt-A loans
characteristics, 9
loan rates, 90
migration,
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.