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Risk Management
Total risk management is the combination of all the elements of risk management into a consistent strategy...
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Training - Investment Banking
Securitisation:
2 days
Course Overview
Participants will gain a broad understanding of the process of
securitisation, the drivers behind the market and the needs of
the various participants. In addition, delegates will be aware
of the different forms of ABS structure and the distinguishing
features of each. Throughout the course there will be various
exercises and case studies to aid with the understanding of
the material.
Course Content
Principles of Asset Backed Securities
Reasons for Creating Asset Backed Securities
- Need for investment uplift
- Greater awareness of credit risk
- Better tools to assess credit risk
- Perceived opportunities for arbitrage
- Need to diversify and / or dissipate credit risk
Features and Procedures of Securitisation
- Cash flows of US fixed rate mortgages.
- Mortgage prepayment option
- Yield, average life and duration calculations
- Creating and managing the pool
- Conduit structures and short term assets
- Application to auto loans, credit cards, trade receivables
- Issues relating to over-collateralisation and ratings
- Default experience and structured finance ratings
- Pricing principles - spreads, guarantees, options
- Default models
- Sensitivity to interest rate changes
- Using credit derivatives to replace or enhance the pool
- Default swaps and total return swaps
- CLNs, CDOs and SCDOs
- Structuring a credit linked note
- Coping with an event of default or variation (restructuring
/ takeover)
Course Fees
VAT to be included at the local rate, if applicable. Costs
shown are per delegate inclusive of refreshments, lunches and
seminar materials. Cost of accommodation is not included.
GBP 2000
Certificates of Participation
Certificates of participation are remitted to course
participants upon request. |
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