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Item Details
Title:
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QUANTITATIVE ASSESSMENT OF SECURITISATION DEALS
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By: |
Francesca Campolongo, Henrik Jonsson, Wim Schoutens |
Format: |
Paperback |
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List price:
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£49.99 |
We currently do not stock this item, please contact the publisher directly for
further information.
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ISBN 10: |
364229720X |
ISBN 13: |
9783642297205 |
Publisher: |
SPRINGER-VERLAG BERLIN AND HEIDELBERG GMBH & CO. KG |
Pub. date: |
6 September, 2012 |
Series: |
SpringerBriefs in Finance |
Pages: |
133 |
Synopsis: |
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. |
Illustrations: |
4 black & white illustrations, 28 colour illustrations, biography |
Publication: |
Germany |
Imprint: |
Springer-Verlag Berlin and Heidelberg GmbH & Co. K |
Returns: |
Returnable |
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