Organized along product lines, the book will analyze many of the
original classes of structured assets, including mortgage- and
asset-backed securities and strips, as well as the newest
structured and synthetic instruments, including exchange-traded
funds, credit derivative-based collateralized debt obligations,
total return swaps, contingent convertibles, and insurance-linked
securities.
Two introductory chapters will outline the scope of the market,
key definitions, participant motivations/goals, economics of
structuring and synthetic replication, and the central ’building
blocks’ used in the creation of synthetic/structured assets
(including on-balance sheet assets and liabilities, derivatives,
shelf registration debt programs, private placements, trusts, and
special purpose entities). Eight product chapters will then examine
the main instruments of the marketplace: mortgage- and asset-backed
securities, stripped/reconstituted government securities,
collateralized debt obligations, structured notes, insurance-linked
securities, exchange-traded funds, convertible bond variations, and
derivatives/synthetic asset replication. Each product chapter will
contain product descriptions, structural features (e.g., trading
conventions, settlement), arbitrage/investment drivers, and various
worked examples and diagrams that emphasize practical investment
and risk applications; financial mathematics will be kept to a
minimum. A concluding chapter will review the essential risk,
legal, regulatory, and accounting features of synthetic and
structured assets in the world’s major markets.
Innehållsförteckning
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 Contingent
Capital.
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, and
Structuring.
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.
Om författaren
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 John Wiley 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.
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