Quantitative Assessment of Securitisation Deals
1st Edition
Published on 5. September 2012
XXI, 112 pages
978-3-642-29721-2 (ISBN)
Description
The book draws on current research on model risk and parameter sensitivity of securitisation ratings. It provides practical ideas and tools that can facilitate a more informed usage of securitisation ratings. We show how global sensitivity analysis techniques can be used to better analyse and to enhance the understanding of the uncertainties inherent in ratings due to uncertainty in the input parameters. The text introduces a novel global rating approach that takes the uncertainty in the ratings into account when assigning ratings to securitisation products. The book also covers new prepayment and default models that overcome flaws in current models.
More details
Series
Language
English
Place of publication
Berlin
Germany
Publishing group
Springer Berlin
Target group
Professional and scholarly
Product notice
Reflowable
Illustrations
XXI, 112 p. 32 illus., 28 illus. in color.
File size
2,62 MB
ISBN-13
978-3-642-29721-2 (9783642297212)
DOI
10.1007/978-3-642-29721-2
Schweitzer Classification
Other editions
Additional editions
Francesca Campolongo | Henrik Jönsson | Wim Schoutens
Quantitative Assessment of Securitisation Deals
Book
09/2012
Springer
€53.49
Shipment within 7-9 days
Content
Preface.-Introduction.-Introduction to Asset Backed Securities.-Cashflow modeling.-Deterministic Models.- Stochastic Models.- Model Risk and Parameter Sensitivity.-Global Sensitivity Analysis for ABS.-Summary.-A Large Homogeneous Portfolio Approximation.-
A.1 The Gaussian One-Factor Model and the LHP Approximation.-A.2 Calibrating the Distribution.-Bibliography.
