550.448 
FINANCIAL ENGINEERING and STRUCTURE PRODUCTS
SPRING 2012

[Announcements] [Slides] [References] [TA Sessions] [Homeworks]

Prof. David Audley, Whitehead 212A, david.audley@jhu.edu, Office Hour: TBA

Min Chen, minchen@jhu.edu, TBA

MW 3:00 PM - 4:15 PM, Maryland 201

Th 3:00 PM - 3:50 PM, Krieger 300

Ann Rutledge and Sylvain Raynes, Elements of Structured Finance, Oxford 2010

Keith Allman, Modeling Structured Finance Cash Lows w/Microsoft Excel, Wiley 2007

This course focuses on structured securities and the structuring solutions of aggregates of financial instruments into engineered problems in capital finance.

Topics include the fundamentals of creating asset-backed and structured securities - including mortgage-backed securities (MBS), stripped securities, collateralized mortgage obligations (CMOs), and other asset-backed collateralized debt obligations (CDOs) - structuring and allocating cash-flows as well as enhancing credit; equity hybrids and convertible instruments; asset swaps, credit derivatives and total return swaps; assessment of structure-risk interest rate-risk and credit-risk as well as strategies for hedging these exposures; managing portfolios of structured securities; and relative value analysis (including OAS and scenario analysis).

• Week 01&02
• Week 03
• Week 04
• Week 05
• Week 07
• Midterm Review
• Week 10
• Week 11
• Week 12
• Week 13
• Week 14

• Week 01&02
• JPM MBS Primer
• MBS Guide Hayre
• RBSGC Guide to MBS
• Week 13
• BOA Agency CMO Structures
• CMO Cashflow Structures
• JPM Agency CMOs
• Fabozzi CMOs
• Fabozzi MBS

• Homework 01