IDC Special Lecture

Synthetic Asset-Backed Securities:

New Risks, New Opportunities

18 September, 2005

Prof Ian Giddy
Stern School of Business, New York University

Lecture Description

Asset-backed securities constitute a growing segment of the global capital markets and have become widely employed in developing as well as developed countries. The synthetic asset securitization technique is the fastest growing segment of the ABS market. It opens new possibilities for the transfer, pricing and management of credit risk. This lecture explores the nature of synthetic asset-backed securities and its links to the markets for credit derivatives and leveraged finance.

Ian Giddyis on the faculty of finance at New York University, USA. He has taught finance at NYU, Columbia, Wharton, Chicago and abroad for the past thirty years. He was Director of International Fixed Income Research at Drexel Burnham Lambert from 1986 to 1989. The author of more than fifty articles on international finance, Dr Giddy has served at the International Monetary Fund and the U.S. Treasury and has been a consultant with numerous financial institutions and corporations in Europe, North America, the Middle East and Asia. He has lectured in more than thirty-five countries. He is the author or co-author of The International Money Market, The Handbook of International Finance, Cases in International Finance, Global Financial Markets Asset Securitization in Asia, and The Hudson River Watertrail Guide.

Synthetic Asset-Backed Securities
Lecture outline
  • Classic ABS
  • The Market for Collateralized Debt Obligations
  • Tiering the liabilities of a CDO
  • Pricing and ratings
  • Rationale for synthetic asset-backed securities
  • Links to the market for credit derivatives
  • Unfunded synthetic ABS
  • New risks, new opportunities
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