Mortgage

For people with little or no knowledge of the structured finance field, the first half of the book will provide a good understanding of the subject, the 2nd half of the book will probably required more time and effort to fully appreciate its value.

The book's aim is said to be (to show) "that presented with a capital-efficient, unified analytic approach, the market will find.....the motivation to operate at higher standards of precision, making the prospect of real commodity credit risk management is possible " (ref: Preface, (ix)). In Part I, The Contemporary Framework, Part II, Analyzing Structured Securities and Part III, Applications of Numerical Methods to Structured Finance, the authors present a succinct and very readable overview of structured finance, its major elements, risks and analytic tools. In Parts IV and V, Case Studies and Advanced Structural Features, they provide an alternative approach which should permit the desired new "credit risk management" paradigm.

Experienced practitioners will likely skip over the first three parts. To the beginner (like the reviewer), the reading was invaluable. The last two parts are provocative and potentially revolutionary, but require a degree of knowledge and experience which limits their readership to a relatively small group of market practitioners who actually understand the "guts" of their speciality. It is this dichotomy which leads to the proffered description of the book as being two pieces for different audiences.

That having been said, if the reader has the time (or the need) to go from the elementary to the complex, the entire journey of the book can be achieved . In many cases, the authors would help the beginner by including more cases studies or detailed expositions in the appendices and citing references to relevant readings. I took off about six weeks from the book to study the introductory topics in greater detail. And I found there was a sufficient mass of such material that the authors might consider breaking the book into two and expanding the first part into a larger introductory text book. The transition to the second part made me encounter heavier reading and I freely admit to requiring multiple rereads (and not an insignificant number of references to my graduate school quant books). In the end, I did grasp the message the authors intended (I hope).

Overall, I feel that of the literally ten thousand plus pages I have read on this subject in the last 6 months, the four hundred odd pages of "The Analysis of Structured Securities" represent the best investment of my time.

Pierre-Emanuel de Gaspe