Securitisation Swaps: A Practitioner's Handbook

Format: Hardback
Length: 232 pages
Publication date: 15 March 2019
Publisher: John Wiley & Sons Inc

Securitisation Swaps is a comprehensive guide for professionals involved in managing this complex class of derivatives. This detailed examination covers the entire life cycle of securitisation swaps, providing a common reference for quants, structurers, traders, originators, issuers, and lawyers. With a broad scope to offer a common-ground perspective, yet detailed enough to promote full understanding, the discussion adopts a cross-disciplinary approach that encompasses the diverse knowledge base required for successful execution.

Despite the enormous size of the market, securitisation swaps have been relatively neglected in academic and practitioner literature. This guide offers valuable insights to a wide range of stakeholders involved in these complex deals. By gaining a thorough understanding of the underlying risks and perspectives of each participant, practitioners can effectively manage securitisation swaps, from pre-trade structuring and modelling to post-trade risk management and accounting.

Securitisation Swaps differ from other derivatives in several key aspects. This guide explores these differences, highlighting their three specific risk factors: swap prepayment risk, swap extension risk, and downgrade risk. It also provides practical methods and strategies for risk management, accounting, pricing, and transaction execution.

When securitisation trades go wrong, they often receive significant media attention. However, it's important to note that when securitisation swaps are executed correctly, they play a crucial role in facilitating financial transactions and managing risk. This guide aims to provide practitioners with the knowledge and tools necessary to navigate the complexities of securitisation swaps and achieve successful outcomes.

In conclusion, Securitisation Swaps is a valuable resource for professionals seeking to enhance their skills and knowledge in this field. By providing a comprehensive examination of the life cycle of securitisation swaps, this guide offers a common reference for quants, structurers, traders, originators, issuers, and lawyers. With its cross-disciplinary approach and practical insights, it empowers practitioners to manage securitisation swaps effectively, mitigate risk, and achieve successful outcomes in their transactions.

Weight: 486g
Dimension: 233 x 168 x 19 (mm)
ISBN-13: 9781119532279