ENGLISH

Quantitative Assessment of Securitisation Deals

By Francesca Campolongo , Wim Schoutens (auth.) , Henrik Jönsson

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2013
ISBN
978-3-642-29720-5, 978-3-642-29721-2
DOI
10.1007/978-3-642-29721-2
Language
english
Format
PDF
Filesize
2 MB (2033432 bytes)
Series
SpringerBriefs in Finance
Edition
1
Pages
112\122
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
Quantitative Finance; Finance/Investment/Banking

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.​

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