Course Descriptions
Asset-backed
Security Markets ( 2 units )
This course extends the study of fixed-income securities
to advanced topics on mortgage and other asset-backed securities.
Students will apply the latest tools in fixed-income analysis
and classic models in economics and finance to a critical
evaluation of the structure and operation of the securitized
bond markets. The course covers the basic mechanics of structuring
deals for mortgage-related securities, credit cards, leases,
and other debt markets and the risk management techniques
employed in the securitization process for these assets.
The course will also consider the valuation of pooled assets
and derivative bonds using both Monte Carlo and option pricing
techniques, an analysis of the trading strategies that are
employed in these markets, and a study of the market microstructure
of asset-backed security markets.
