Books for Structured Finance
Hi, I may very well be in the wrong sub-forum, but it seems to be the most frequently read sectio, so here it goes..
Does anyone know of any good books for structured finance? I'm trying to learn more about the structuring process of different structured products and the underlying risks behind various structures in MBS, ABS, CDO and other credit derivative instruments.
Thanks a lot!
There are two main authors in the Structured Finance category: Janet Tavakoli and Frank Fabozzi. Both have written extensively on the topics (synthetic securitization, CDOs, ABS) and consistently put out new material as the industry evolves. Tavakoli currently works with plantiffs in synthetic CDO lawsuits and speaks from the "inside" in documenting a myriad of real world situations. She covers different perspectives on CDOs (quantitative, qualitative, legal) and it helps that her writing is rather engaging and fresh, but also precise.
A succinct list our team has found helpful:
Structured Finance and Collateralized Debt Obligations: New Developments in Cash and Synthetic Securitization - J. Tavakoli **IF YOU BUY ONLY ONE BOOK, BUY THIS ONE
Understanding Credit Derivatives and Related Instruments - A. Bomfim
Introduction to Structured Finance - F Fabozzi
Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications - J Tavakoli
Do these books teach you specifically how deals are modeled using say excel? I'm a novice modeler and love to get my hands on books that demonstrate how these deals are modeled.
Do you know if there are any blogs or news site that dedicate to the securitization market?
Structured Finance Books (Originally Posted: 11/14/2010)
Thought I'd share some of the best books I've come across for learning about Structured Finance (from my blog: http://www.wallstinsiders.com/insights/article/the_best_books_on_struct…)
There are two main authors in the Structured Finance category: Janet Tavakoli and Frank Fabozzi. Both have written extensively on the topics (synthetic securitization, CDOs, ABS) and consistently put out new material as the industry evolves. Tavakoli currently works with plaintiffs in synthetic CDO lawsuits, so a lot of her material tends to speak from the “inside” in documenting a myriad of real world situations. She covers different perspectives on CDOs (quantitative, qualitative, legal) and it helps that her writing is rather engaging and fresh, but also precise.
Fabozzi is a professor at the Yale School of Management, and as such, his material tends to be a bit more academic in nature. He is a co-developer of the Kalotay-Williams-Fabozzi Model of the short rate, used in the valuation of interest-rate derivatives. Fabozzi is also on the advisory council of several other prominent academic institutions and sits on the board of directors for BlackRock’s closed-end funds division. His material is much more “text-book” like with series of problem sets and walk-throughs for you to learn as you read.
We recommend reading both authors to gain from their real-world and academic perspectives alike.
A succinct list our team has found helpful:
Structured Finance and Collateralized Debt Obligations: New Developments in Cash and Synthetic Securitization - J. Tavakoli **IF YOU BUY ONLY ONE BOOK, BUY THIS ONE
Understanding Credit Derivatives and Related Instruments - A. Bomfim
Introduction to Structured Finance - F Fabozzi
Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications - J Tavakoli
Let me know if you have any you would add. Thanks!
same question. Please let me know.
This thread is a bit stale. Does anyone have any newer books for structured finance that are worth reading or are these still the mainstays?
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