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portada quantitative assessment of securisation deals
Type
Physical Book
Author
Publisher
Language
English
Pages
112
Format
Paperback
Dimensions
22.9 x 15.5 x 1.3 cm
Weight
0.20 kg.
ISBN
364229720x
ISBN13
9783642297205
Categories

quantitative assessment of securisation deals

Henrik Jonsson (Author) · Francesca Campolongo (Author) · Wim Schoutens (Author) · Springer · Paperback

quantitative assessment of securisation deals - Campolongo, Francesca ; Jönsson, Henrik ; Schoutens, Wim

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Synopsis "quantitative assessment of securisation deals"

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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