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Index
About the Author
Foreword
Acknowledgements
CHAPTER 1: Introduction
Notes
CHAPTER 2: Overview of Structured Funding
FUNDING
FUNDING INSTRUMENTS
SECURITISATION
COVERED BONDS
DOCUMENTARY FRAMEWORK
STRUCTURED FUNDING MARKETS
RISKS
Notes
CHAPTER 3: Asset‐Backed Debt Structures
LOAN POOL DYNAMICS
SECURITISATION STRUCTURES
COVERED BOND STRUCTURES
COMPARISON OF STRUCTURES
Notes
CHAPTER 4: Swaps in Structured Funding
AN OVERVIEW OF VANILLA SWAPS
ASSET SWAPS
LIABILITY SWAPS
STANDBY SWAPS
SWAP PRIORITY AND FLIP CLAUSES
Notes
CHAPTER 5: Swap Prepayment Risk
WHAT IS SWAP PREPAYMENT RISK?
MONTE CARLO MODELLING OF SWAP PREPAYMENT RISK
GREEKS, HEDGING AND VaR
XVA
MITIGATION STRATEGIES
SYSTEM ISSUES AND WHOLE‐OF‐LIFE DEAL MANAGEMENT
Notes
CHAPTER 6: Swap Extension Risk
WHAT IS SWAP EXTENSION RISK?
A SIMPLE PRICING FRAMEWORK FOR 1‐FACTOR STOCHASTIC FX
FULL PRICING FRAMEWORK IN A MULTI‐FACTOR SETTING
MITIGATION STRATEGIES
Notes
CHAPTER 7: Downgrade Risk
RATING AGENCY CRITERIA
BASEL III AND THE LIQUIDITY COVERAGE RATIO
LIQUIDITY TRANSFER PRICING
CONTINGENT FUNDING VALUATION ADJUSTMENT
RISK LIMITS
MITIGATION STRATEGIES
REPLACEMENT RISK
Notes
CHAPTER 8: Deal Management
PRICING
DEAL CHECKLIST FOR SWAP PROVIDERS
CLOSING THE DEAL
MARKET RISK MANAGEMENT
ACCOUNTING
Notes
Glossary
References
Index
End User License Agreement
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