Quantitative Assessment of Securitisation Deals - Couverture souple

Livre 3 sur 30: SpringerBriefs in Finance

Campolongo, Francesca; Jönsson, Henrik; Schoutens, Wim

 
9783642297205: Quantitative Assessment of Securitisation Deals

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.​

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Présentation de l'éditeur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.