Structured Credit Risk von Edu Pristine

Dozent des Vortrages Structured Credit Risk

Edu Pristine

Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, EduPristine is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, Operational Risk Modeling etc. It was founded by industry professionals who have worked in the area of investment banking and private equity in organizations such as Goldman Sachs, Crisil - A Standard & Poors Company, Standard Chartered and Accenture.

EduPristine has conducted corporate training for various leading corporations and colleges like JP Morgan, Bank of America, Ernst & Young, Accenture, HSBC, IIM C, NUS Singapore etc. EduPristine has conducted more than 500,000 man-hours of quality training in finance.
http://www.edupristine.com

Kundenrezensionen

Auszüge aus dem Begleitmaterial

... Describe the role of capital structure and credit losses in a securitization. Evaluate a waterfall example in a securitization with multiple tranches. Identify the key participants in a securitization, ...

... Define and describe how default sensitivities for tranches are measured. Summarize some of the different types of risks that play a role in structured products. ...

... is the process of pooling credit sensitive assets and the associated creation of new securities whose ...

... is guaranteed by the originator and does not depend on the performance of the underlying assets. Mortgage Pass Through Securities: They are off balance sheet securitizations. ...

... are MBSs that tranche the cash flows based on certain predetermined conditions. Most basic structure is waterfall or sequential pay structure. ...

... of asset backed securities include collateralized bond obligations (CBO), collateralized debt obligations (CDO), ...

... top of capital structure and has highest priority in receiving principal and interest. Equity tranche has the lowest priority and will be the first one to absorb losses. They receive the residual cash flows after all the ...

... with different coupons and maturity. This distribution is further complicated by defaults. Constant default rate assumption is built into the waterfall distribution. ...

... The interest rate on the loan is LIBOR + 200 bps. The senior, junior and equity tranches are 80%, 15% and 5% ...

... The spread on senior and mezzanine tranches are 1% and 4% respectively. There is one overcollateralization trigger where equity tranche holders receive maximum of $2 million ...

... Underwriter structures the issue. The underwriter keeps the custody of collateral and faces the risk that issue will not marketed or that the collateral value may drop. Credit Rating Agencies (CRA) assigns credit rating to the ...

... interest collected from loans is less than interest owned to senior and mezzanine tranches, overcollateralization account will be used until it is depleted. Overcollateralization account increases from the recovery of defaulted loans and excess spread. ...

... The interest rate on the loan is 9%. Number of surviving loans are 450. The senior, junior and equity tranches are 75%, 20% and ...

... There were three defaults with the recovery rate of 45% at the end of the period. The cash in the trust account at the beginning of ...

... The interest rate on the loan is 5%. Number of surviving loans are 450. The senior, junior and equity tranches are 75%, 20% and ...

... correlation between loans was ignored etc. Steps for the simulation approach to calculate credit losses are as follows: ...

... a given correlation, increasing probability of default will negatively impact the cash flows and values of all tranches. Increase in correlation decreases the value of the senior tranches as the pool is now expected to suffer ...

... To calculate default sensitivity, default probability is moved up and down by 10 basis points. ...

... and mezzanine tranches are very thin. Due to their thinness, they will be breached very quickly in case of high losses. This increases the risk for senor tranche. Loan granularity means the diversification at loan level. ...

... with the observed market price and a price function for the tranche, if is possible to calculate the implied correlation. There are several intermediate steps involved in this ...

... the loan in secondary market. Investors invest in securitized products because of the diversified loan pool. Investors, depending on their risk appetite, invest in the tranche that fulfills ...