Thursday, February 16, 2006

Securitization

CFA-2 syallabus contains significant content on Securitization- namely securtities that derive their value from other assets that are held as collateral. There is an incredible amount of jargon depending on the type of collateral and the various risks that come with them. The main types of securities in this area are MBS, ABS, and CDOs. Some like MBS, have little credit risk (but have prepayment risk) and others like credit card receivables based ABS have significant credit risk. The modeling and valuation of these products poses significant challenges best addressed by financial engineers.

4 Comments:

Blogger aloke said...

Michael Lewis' "Liar's Poker" is an entertaining look at the birth of the MBS... (and junk bonds too)

8:09 PM, February 21, 2006  
Blogger Quantjock said...

Yeha I read poker sometime ago. I should read it again !!! This time, I may even understand it..

9:41 AM, February 22, 2006  
Blogger shooGu said...

I have yet to read "Liar's Poker"--it's been on my reading list for a while! I should try to get to it in the last few weeks before the MFE starts...

2:03 PM, February 23, 2006  
Blogger Vijaychandran said...

Liars poker is a good one. I highly recommend it

1:53 PM, March 08, 2006  

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