The Unravelling of Structured Investment Vehicles – Renowned financial economists examines the cataclysmic collapse of the global financial

Dr. Henry Tabe is the author of The Unravelling of Structured Investment Vehicles: How Liquiditiy Leaked Through SIVs: Lessons in Risk Management and Regulatory Oversight.

Dr. Tabe is Chief Risk Officer and Head of Research at Sequoia Investment Management Company. Previously, he was Moody’s Investors Service Managing Director in Europe for Structured Finance Operating Companies (SFOCs) and complex structured credit transactions.

His book on SIVs traces their origins in the late 1980s to their eventual collapse in the wake of the credit crisis, highlighting critical factors that contributed to the sector’s demise.

At Moody’s, Dr Tabe chaired the credit rating committees in Collateralized Fund Obligations, cash and synthetic market value CDOs, Structured Investment Vehicles (SIVs) and Credit Derivative Product Companies (CDPCs) for Europe. He designed methodologies and built models for analysing and rating SFOCs and structured credit transactions, including Double Binomial models in Moody’s Europe for analysing CDOs backed by pools of corporate loans and bonds; he designed and constructed Moody’s quantitative models for rating Default Basket Credit-Linked Notes and SIVs, and he published the agency’s methodologies in these areas.

Dr Tabe’s Monte Carlo simulation models for CLNs and SIVs introduced the Gaussian copula correlation framework at Moody’s, a framework later adopted for the agency’s widely used CDOROM product. Prior to Moody’s, Dr Tabe was a Senior Quantitative Analyst at Commerzbank in its Global Equities group.

You can see Chapter 10 after the jump . . .


The Unravelling – Chapter 10

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