Description
Quantitative Assessment of Securitisation Deals, 2013
SpringerBriefs in Finance Series
Authors: Campolongo Francesca, Jönsson Henrik, Schoutens Wim
Language: EnglishSubject for Quantitative Assessment of Securitisation Deals:
52.74 €
In Print (Delivery period: 15 days).
Add to cart the book of Campolongo Francesca, Jönsson Henrik, Schoutens Wim
Publication date: 09-2012
112 p. · 15.5x23.5 cm · Paperback
112 p. · 15.5x23.5 cm · Paperback
Description
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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.?
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.
Introduces new concepts
Includes supplementary material: sn.pub/extras
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