Securitisation: Pricing and Hedging Aspects
Host: World Business Strategies, London
Instructor: Prof. Ian Giddy New York University
Asset-backed securities constitute a growing segment of the European and global capital markets. The asset securitisation technique, while complex, has won a secure place in corporate financing and investment portfolios because it can, paradoxically, offer originators a cheaper source of funding and investors a superior return. Not only does securitisation transform illiquid assets into tradable securities, but it also manages to transform risk by means of the separation of good financial assets from a company or financial institution with little loss of revenue. The assets, once separated from the originator, are employed as backing for high-quality securities designed to appeal to investors.
For more details see the instructor's website,
has taught finance at NYU, Columbia, Wharton, Chicago and in 30+ countries
abroad for the past two decades. 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, he has served at the
International Monetary Fund and the U.S. Treasury and has been a consultant
with numerous corporations and financial institutions in the U.S. and abroad.
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.
Prof Ian Giddy
Stern School of Business
New York University
44 West 4th Street
New York, NY 10024
+1 212 998 0563
Pricing and Hedging Aspects
The European asset-backed securities market has provided fertile
ground for financial hybridization. Originating in a number of countries
and legal frameworks, ABS deals -- securities backed by assets that have
been separated from their originator and placed in a special-purpose company
-- often demand specialized pricing, risk analysis and hedging. This workshop
will explore some of these variants, and explore their components from
the standpoint of quantitative analysis. Participants will get involved in
the details of a number of deals and have the opportunity to work in groups
on hands-on applicaitons.
Risk Management of CDOs
When the Rating Agencies get it Wrong
Pricing and Quality of CDOs
Copyright ©2003 Ian Giddy. All rights reserved.