Synthetic and Structured Assets
A Practical Guide to Investment and Risk
Published on 3. February 2006
280 pages
978-0-470-03153-7 (ISBN)
Description
Organized along product lines, the book will analyze many of theoriginal classes of structured assets, including mortgage- andasset-backed securities and strips, as well as the neweststructured and synthetic instruments, including exchange-tradedfunds, credit derivative-based collateralized debt obligations,total return swaps, contingent convertibles, and insurance-linkedsecurities.
Two introductory chapters will outline the scope of the market,key definitions, participant motivations/goals, economics ofstructuring and synthetic replication, and the central "buildingblocks" used in the creation of synthetic/structured assets(including on-balance sheet assets and liabilities, derivatives,shelf registration debt programs, private placements, trusts, andspecial purpose entities). Eight product chapters will then examinethe main instruments of the marketplace: mortgage- and asset-backedsecurities, stripped/reconstituted government securities,collateralized debt obligations, structured notes, insurance-linkedsecurities, exchange-traded funds, convertible bond variations, andderivatives/synthetic asset replication. Each product chapter willcontain product descriptions, structural features (e.g., tradingconventions, settlement), arbitrage/investment drivers, and variousworked examples and diagrams that emphasize practical investmentand risk applications; financial mathematics will be kept to aminimum. A concluding chapter will review the essential risk,legal, regulatory, and accounting features of synthetic andstructured assets in the world's major markets.
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Book
02/2006
Wiley
€79.90
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Person
Erik Banks is an independent risk consultant and financial author who has been active in the investment banking sector for 20 years. Erik has held senior risk management positions at Merrill Lynch, XL Capital, and Citibank in New York, Tokyo, London, and Hong Kong, and has written 20 books on derivatives, risk, emerging markets, and merchant banking, including the JohnWiley titles The Simple Rules of Risk, Exchange-Traded Derivatives, Alternative Risk Transfer, and Catastrophic Risk. He lives in Maine with his wife, Milena, and their horses and dogs.
Content
Acknowledgements.
About the author.
1. Introduction to Synthetic and Structured Assets.
1.1 Development of structured and synthetic assets.
1.2 Drivers of market activity.
1.3 New product design.
1.4 Overview of the text.
2. Financial Building Blocks.
2.1 Introduction.
2.2 Concepts.
2.3 Derivative instruments.
2.4 Host securities/liabilities.
2.5 Issuing/repackaging vehicles.
2.6 Financial engineering and product design.
3. Callable, Puttable, and Stripped Securities.
3.1 Introduction.
3.2 Development and market drivers.
3.3 Product mechanics and applications.
4. Mortgage- and Asset-backed Securities.
4.1 Introduction.
4.2 Development and market drivers.
4.3 Product mechanics and applications.
5. Structured Notes and Loans.
5.1 Introduction.
5.2 Development and market drivers.
5.3 Product mechanics and applications.
6. Collateralized Debt Obligations.
6.1 Introduction.
6.2 Development and market drivers.
6.3 Product mechanics and applications.
7. Insurance-linked Securities and ContingentCapital.
7.1 Introduction.
7.2 Development and market drivers.
7.3 Product mechanics and applications.
8. Convertible Bonds and Equity Hybrids.
8.1 Introduction.
8.2 Development and market drivers.
8.3 Product mechanics and applications.
9. Investment Funds.
9.1 Introduction.
9.2 Development and market drivers.
9.3 Product mechanics and applications.
10. Derivative Replication, Repackaging, andStructuring.
10.1 Introduction.
10.2 Development and market drivers.
10.3 Product mechanics and applications.
11. Risk, Legal, and Regulatory Issues.
11.1 Introduction.
11.2 Risk and financial controls.
11.3 Legal controls.
11.4 Regulatory and accounting issues.
Selected References.
Index.
