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Quantitative Assessment of Securitisation Deals
Campolongo, Francesca; Jonsson, Henrik; Schoutens, Wim
€ 65.41
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Description for Quantitative Assessment of Securitisation Deals
Paperback. Series: SpringerBriefs in Finance. Num Pages: 133 pages, 4 black & white illustrations, 28 colour illustrations, biography. BIC Classification: KFF. Category: (P) Professional & Vocational. Dimension: 159 x 234 x 8. Weight in Grams: 222.
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. ... Read more
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. ... Read more
Product Details
Format
Paperback
Publication date
2012
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
133
Condition
New
Series
SpringerBriefs in Finance
Number of Pages
112
Place of Publication
Berlin, Germany
ISBN
9783642297205
SKU
V9783642297205
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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