Quantitative Assessment of Securitisation Deals

• 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: Mathematics.; Finance.; Economics, Mathematical.; Quantitative Finance.; Finance, general.

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...

Πίνακας περιεχομένων:

• 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.