From pricing to rating structured credit products and vice-versa

• Abstract
  
• Chapter 1
  
• Structured credit products: a
  
• business review
  
  • 1.1 Introduction
    
  • 1.2 Elementary building blocks
    
  • 1.2.1 Credit Default Swaps
    
  • 
    
  • 1.2.2 Credit indices
    
  • 1.2.3 Collateralized Synthetic Obligations Basic principles
    
  • 1.2.4 Structured Non-Correlation Products
    
• Chapter 2
  
• Modelling and pricing CSO
  
• tranches
  
  • 2.1 Modelling a CSO tranche payoff
    
  • 2.2 Default and premium legs of a CSO tranche
    
    • 2.2.1 Default leg
      
    • 2.2.2 Premium leg
      
    • 2.2.3 Fair premium
      
  • 2.3 The semi-analytic approach: one factor Gaussian Copula model
    
    • 2.3.1 Copula functions: basic properties
      
    • 2.3.2 The one factor gaussian copula model
      
  • 2.4 Back to CSO tranche pricing: computing the expected portfolio loss
    
    • 2.4.1 Monte-Carlo simulations
      
    • 2.4.3 Andersen's recursive formula
      
• Chapter 3
  
• Modelling and Rating Dynamic
  
• Proportion Portfolio Insurance
  
• products
  
  • 3.1 Moody's approach to rating CPDO and CPPI/DPPI products
    
    • 3.1.1 Historical vs risk-neutral probability measures
      
    • 3.1.2 Moody's Metric and coherent risk measures
      
  • 3.2 Modelling risk factors
    
    • 3.2.1 Credit spread processes influenced by defaults and ratings
      
    • 3.2.2 Rating migrations and default events
      
    • 3.2.3 Interest rates process and other parametres Interest rates
      
  • 3.3 Portfolio investment rules
    
    • 3.3.1 Dynamic leverage function
      
    • 3.3.3 Other key structural features
      
    • 3.4.1 Tailor-made structural features to achieve target rating
      
    • 3.4.2 Hypothetical stress-scenarios
      
  • 3.5 DPPI: any hidden pricing issue?
    
    • 3.5.1 From the investor's perspective
      
    • 3.5.2 From the investment bank's perspective
      
• Conclusion
  
• Appendix
  
• Bibliography