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Subprime Mortgage Credit Derivatives
Laurie S. Goodman, Shumin Li, Douglas J. Lucas, Thomas A. Zimmerman, Frank J. Fabozzi CFAHow much do you like this book?
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This book provides an excellent and very practical approach to analyzing and interpreting subprime instrumnents. Fabozzi is a very clear and thorough academic, in the best way. The co-authors are all from UBS, which lost a ton of money in the subprime meltdown. I have to admit that I was a little skeptical about being told how to, in essence, analyze risk from risk managers who presumably helped UBS lose over $40 billion. But then again, they should understand the market. If there is any weakness in their analysis it is that it is next to impossible to conduct any sort of statistical sampling when so many loan applications were fraudulent. Still, all-in-all, I highly recommend this book. Oh, and don't let the term derivatives scare you, the authors used virtually no mathematics to explain these complex instruments. The only thing I would like to have seen was an Excel disk with their models on it, or at least an appendix with more details on how to do their analysis.
Categories:
Year:
2008
Publisher:
John Wiley & Sons
Language:
english
Pages:
336
ISBN 10:
047024366X
ISBN 13:
9780470243664
Series:
The Frank J. Fabozzi series
File:
PDF, 2.04 MB
Your tags:
IPFS:
CID , CID Blake2b
english, 2008
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