1 option
Quantitative assessment of securitisation deals Francesca Campolongo, Henrik Jönsson, Wim Schoutens ; foreword by Anneli Peshkoff and Guido Bichisao
Springer Nature - Springer Mathematics and Statistics (R0) eBooks 2013 English International Available online
View online- Format:
- Book
- Author/Creator:
- Campolongo, Francesca, 1970-
- Series:
- SpringerBriefs in finance
- SpringerBriefs in finance 2193-1720
- Language:
- English
- Subjects (All):
- Securities.
- Securities industry--Risk management.
- Securities industry.
- Asset-backed financing.
- Asset-backed financing--Mathematical models.
- Financial risk management.
- Mathematics.
- Finance.
- mathematics.
- applied mathematics.
- finance.
- Physical Description:
- 1 online resource
- Place of Publication:
- Berlin New York Springer ©2013
- Language Note:
- English
- System Details:
- text file
- Summary:
- 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
- Contents:
- Part 1. Introduction Introduction to Asset-Backed Securities Cashflow Modelling
- Part 2. Modelling Defaults and Prepayments Deterministic Models Stochastic Models
- Part 3. Model Risk and Parameter Sensitivity Model Risk and Parameter Sensitivity Global Sensitivity Analysis for ABS
- Part 4. Summary and Conclusions Summary
- Notes:
- Includes bibliographical references and index
- Other Format:
- Print version Quantitative Assessment of Securisation Deals
- ISBN:
- 9783642297212
- 3642297218
- 364229720X
- 9783642297205
- OCLC:
- 810144366
- Publisher Number:
- (WaSeSS)ssj0000767158
- Access Restriction:
- Restricted for use by site license
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