Securitization has come up a lot recently, especially in the context of the sub-prime mortgage crisis. This is a first introductory video describing briefly what...
A securitization is a structured finance with three ingredients: 1. Pooled credit-sensitive assets; 2. Transfer of credit risk; 3. Tranched liabilities
This continues to follow the subprime securitization case study by Aschraft. There are two steps: 1. Specify the loss distribution; and 2. Map the target...
The net excess spread is a type of internal credit enhancement in a securitization. In this simple structure, $100 million in loan assets are securitized...
In a securitization, we can take a balance-sheet perspective: on the left-hand side, credit-sensitive assets (collateral) have value, create cash flow, and contain risk; on...
This illustrates a partially-funded synthetic CDO typical of the failed structure in the subprime meltdown. "Partially-funded" refers to the fact that only a fraction of...
