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Item Details
Title: QUANTITATIVE ASSESSMENT OF SECURITISATION DEALS
By: Francesca Campolongo, Henrik Jonsson, Wim Schoutens
Format: Paperback

List price: £49.99


We currently do not stock this item, please contact the publisher directly for further information.

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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