Quantitative Assessment of Securitisation Deals

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 enh...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς: Campolongo, Francesca (Συγγραφέας), Jönsson, Henrik (Συγγραφέας), Schoutens, Wim (Συγγραφέας)
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013.
Σειρά:SpringerBriefs in Finance,
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
Περιγραφή
Περίληψη: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.
Φυσική περιγραφή:XXI, 112 p. 32 illus., 28 illus. in color. online resource.
ISBN:9783642297212
ISSN:2193-1720