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Structured Credit Instruments (Toxic Assets) Theory and Practice of Quantitative Fair Value

We at asymptotix have been publishing again!

This is all part of the 'Theory Forge' (or theoretical framework) which I have been initiating recently. Our publications work (we think) by explaining more fully our theoretical point of view & our specific approach to quantitative analytics in risk management and finance. The content is mostly taken from the higher level theoretical background with which we approach specific client engagements.

Our new publications are two new papers which explain how we approach the valuation of complex structured instruments (those 'products' which have become toxic, since they are so hard to value), the papers also explain what the modelling process is and the software toolsets, in terms of R packages, which we envisage as required are.

These documents are as follows;-

The first paper (our "blue paper") is an exposition on the latest publications about fair value / economic value of structured credit instruments, which sets out theoretical foundations to be considered by any team considering the process review and we comment on forecast assumptions, recent trends including in related markets, available here;

http://www.asymptotix.eu/sppv.pdf

The second paper our "Green Paper" is on the topic of applied techniques and appropriate software objects for risk capital estimation and stress testing, available here: it is a first attempt (we believe) at the specification of that subset of R packages which are appropriate in this space.

http://www.asymptotix.eu/greenpaper.pdf

We hope that you may find these of interest and of use and that if you wish to comment, you will do so.

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Tags: Asymptotix, Impaired Assets, Structured Instruments, Toxic Assets

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