The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation Book

Pt. I	The Contemporary Framework
1	Market Basics	3
2	To Rate A Tabula Rasa	17
3	The Actuarial Method	32
4	The Default Method	58
5	The Eclectic Method	69
Pt. II	Analyzing Structured Securities
6	Toward a Science of Ratings	79
7	Dynamic Asset Analysis	93
8	Liabilities Analysis and Structuring	106
9	The Average Life of Assets and Liabilities	124
10	PACs and TACs	138
Pt. III	Applications of Numerical Methods to Structured Finance
11	The Art of Mathematical Modeling	155
12	Statistical Probability Density Functions	163
13	Eigenvalues and Eigenvectors	173
14	Markov Chains	180
15	Regression Analysis	196
16	Lower-Upper Decomposition	201
17	Covariance Matrix Simulation	204
18	The Newton-Raphson Nonlinear Optimization Method	208
19	Tchebychev Polynomials	211
Pt. IV	Case Studies
20	Automobile Receivable Securitizations	223
21	CDOs of ABS	272
22	Aircraft Receivable Securitizations	312
Pt. V	Advanced Structural Features
23	Trigger Theory	357
	Concluding Remarks	377
App. A	Numerical Experiments in Random Number Generation	383
App. B	The Physics of Markov Chains	386
App. C	The Markov Property and the Efficient Market Hypothesis	389
App. D	An Example of Nonlinear Regression	392
App. E	The Symmetry and Nonnegative Definiteness of Two Special Matrices	394
App. F	Convergence Analysis for the Newton-Raphson Optimization Method	397
App. G	Spline Function Interpolations	411
App. H	Correlation Topics	420
	Notes	429
	Index	441