Quantitative Assessment of Securitisation Deals (SpringerBriefs in Finance)
Campolongo, Francesca; Jönsson, Henrik; Schoutens, Wim
ISBN 10: 364229720X ISBN 13: 9783642297205
Published by Springer, 2012
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Soft cover
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Ria Christie Collections, Uxbridge, United Kingdom
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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.
From the Back Cover: 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.
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Bibliographic Details
Title: Quantitative Assessment of Securitisation ...
Publisher: Springer
Publication Date: 2012
Binding: Soft cover
Condition: New