Quantitative Assessment of Securitisation Deals

• Main Authors: Campolongo, Francesca (Author), Jönsson, Henrik (Author), Schoutens, Wim (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013.
• Series: SpringerBriefs in Finance,
• Subjects: 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...

Table of Contents:

• 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.