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The Journal of Structured Finance

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Article

ABSTRAK and the Greeks: The Mathematics of Valuing Structured Securities in the Secondary Market

Iuliia Palamar, David Abitbol, Ann Rutledge and Sylvain Raynes
The Journal of Structured Finance Fall 2011, 17 (3) 42-50; DOI: https://doi.org/10.3905/jsf.2011.17.3.042
Iuliia Palamar
is a research associate at R&R Consulting in New York, NY.
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  • For correspondence: iuliia@creditspectrum.com
David Abitbol
is a head of risk management at R&R Consulting in New York, NY.
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Ann Rutledge
is a principal at R&R Consulting in New York, NY.
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  • For correspondence: rrcons@nyc.rr.com
Sylvain Raynes
is a principal at R&R Consulting in New York, NY.
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  • For correspondence: sraynes@nyc.rr.com
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Abstract

Since the publication of U.S. SEC Regulation AB in 2005, the securitization market has made substantial progress in accepting the need to standardize collateral data. However, to revive the market, the valuation framework for ABS, RMBS, and their derivatives also needs to be standardized. The authors argue that the most data-responsive valuation framework for structured securities is based not on Black–Scholes (where the risk analysis is circular, being reliant on ratings) but on classical fixed income mathematics—both the price of a bond and Taylor series approximations—with an adjustment for endogenous shifts in the credit quality of seasoning structured securities.

  • Copyright © 2011 R&R Consulting. All rights reserved. Not to be reproduced or redistributed without permission.
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The Journal of Structured Finance: 17 (3)
The Journal of Structured Finance
Vol. 17, Issue 3
Fall 2011
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ABSTRAK and the Greeks: The Mathematics of Valuing Structured Securities in the Secondary Market
Iuliia Palamar, David Abitbol, Ann Rutledge, Sylvain Raynes
The Journal of Structured Finance Oct 2011, 17 (3) 42-50; DOI: 10.3905/jsf.2011.17.3.042

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ABSTRAK and the Greeks: The Mathematics of Valuing Structured Securities in the Secondary Market
Iuliia Palamar, David Abitbol, Ann Rutledge, Sylvain Raynes
The Journal of Structured Finance Oct 2011, 17 (3) 42-50; DOI: 10.3905/jsf.2011.17.3.042
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  • Article
    • Abstract
    • EXTRAPOLATING THE RISK-FREE CASH FLOW PARADIGM TO DEBT WITH ENDOGENOUS RISK SHIFTS
    • DYNAMIC PRICING: ABCS
    • USING KEY PARAMETER SENSITIVITIES TO ESTIMATE FUTURE VALUE
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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