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.
Product Identifiers
Publisher
Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
ISBN-13
9783642297205
eBay Product ID (ePID)
178417798
Product Key Features
Author
Wim Schoutens, Henrik Joensson, Francesca Campolongo
Publication Name
Quantitative Assessment of Securitisation Deals
Format
Paperback
Language
English
Subject
Accounting, Finance
Publication Year
2012
Type
Textbook
Number of Pages
112 Pages
Dimensions
Item Height
235mm
Item Width
155mm
Item Weight
219g
Additional Product Features
Title_Author
Henrik Joensson, Francesca Campolongo, Wim Schoutens