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Quantitative Assessment of Securitisation Deals

  • Book
  • © 2013

Overview

Authors:
  1. Francesca Campolongo

    1. Joint Research Centre, Sci. Support to Financial Analysis Unit, European Commission, Ispra, Italy

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  2. Henrik Jönsson

    1. Joint Research Centre, Sci Support to Financial Analysis Unit, European Commission, Ispra, Italy

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  3. Wim Schoutens

    1. Department of Mathematics, K.U. Leuven, Leuven, Belgium

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  • Introduces new concepts
  • Includes supplementary material: sn.pub/extras

Part of the book series: SpringerBriefs in Finance (BRIEFSFINANCE)

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Table of contents (7 chapters)

  1. Front Matter

    Pages i-xxi
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  2. Introduction

    1. Front Matter

      Pages 1-1
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    2. Introduction to Asset-Backed Securities

      • Francesca Campolongo, Henrik Jönsson, Wim Schoutens
      Pages 3-16

    3. Cashflow Modelling

      • Francesca Campolongo, Henrik Jönsson, Wim Schoutens
      Pages 17-29

  3. Modelling Defaults and Prepayments

    1. Front Matter

      Pages 31-31
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    2. Deterministic Models

      • Francesca Campolongo, Henrik Jönsson, Wim Schoutens
      Pages 33-42

    3. Stochastic Models

      • Francesca Campolongo, Henrik Jönsson, Wim Schoutens
      Pages 43-53

  4. Model Risk and Parameter Sensitivity

    1. Front Matter

      Pages 55-55
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    2. Model Risk and Parameter Sensitivity

      • Francesca Campolongo, Henrik Jönsson, Wim Schoutens
      Pages 57-68

    3. Global Sensitivity Analysis for ABS

      • Francesca Campolongo, Henrik Jönsson, Wim Schoutens
      Pages 69-97

  5. Summary and Conclusions

    1. Front Matter

      Pages 99-99
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    2. Summary

      • Francesca Campolongo, Henrik Jönsson, Wim Schoutens
      Pages 101-104

  6. Back Matter

    Pages 105-112
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Keywords

About this book

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.​

Authors and Affiliations

  • Joint Research Centre, Sci. Support to Financial Analysis Unit, European Commission, Ispra, Italy

    Francesca Campolongo

  • Joint Research Centre, Sci Support to Financial Analysis Unit, European Commission, Ispra, Italy

    Henrik Jönsson

  • Department of Mathematics, K.U. Leuven, Leuven, Belgium

    Wim Schoutens

Bibliographic Information

  • Book Title: Quantitative Assessment of Securitisation Deals

  • Authors: Francesca Campolongo, Henrik Jönsson, Wim Schoutens

  • Series Title: SpringerBriefs in Finance

  • DOI: https://doi.org/10.1007/978-3-642-29721-2

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: The Author(s) 2013

  • Softcover ISBN: 978-3-642-29720-5Published: 06 September 2012

  • eBook ISBN: 978-3-642-29721-2Published: 05 September 2012

  • Series ISSN: 2193-1720

  • Series E-ISSN: 2193-1739

  • Edition Number: 1

  • Number of Pages: XXI, 112

  • Number of Illustrations: 4 b/w illustrations, 28 illustrations in colour

  • Topics: Quantitative Finance, Finance, general

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