Books about Asset-Backed Securities?

pnrodriguez · August 18th, 2010, 4:24 pm

Hi everyone,I am currently looking for books and/or working papers that talk about Asset-Backed Securities from a modeling and risk management perspective. Any thoughts? Thanks!

rg209 · August 18th, 2010, 8:32 pm

I was recommended the following two books by an ABS Quant.Credit Derivatives Pricing Models: Models, Pricing and Implementation (The Wiley Finance Series) by Philipp J. Schönbucher Credit Risk: Modeling, Valuation and Hedging by Bielicki and Rutkowski

bengourion · August 23rd, 2010, 10:15 am

To rg : These two references are very good, particularly on the theoretical side. To get a good view of the financial structure of the credit derivartives, i strongly recommend :"Understanding Credit Derivatives and Related Instruments", Antulio Bonfim, Academic Press Advanced FinanceAbout the Schonbucher book, it seems a new edition is coming. Unfortunatley it was scheduled for the beginning of 2010 and nothing comes...