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Mathematics - Quantitative Finance | Quantitative Assessment of Securitisation Deals

Quantitative Assessment of Securitisation Deals

Campolongo, Francesca, Jönsson, Henrik, Schoutens, Wim

2013, XXI, 112 p. 32 illus., 28 illus. in color.

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  • Introduces new concepts
  • Peer reviewed
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.

Content Level » Research

Keywords » 91G40; 91G60; 65C05; 60J05; 60J75 - asset-backed securities - credit ratings - global sensitivity analysis - securitisation

Related subjects » Finance & Banking - Quantitative Finance

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