SpringerBriefs in Finance

Quantitative Assessment of Securitisation Deals

Authors: Campolongo, Francesca, Jönsson, Henrik, Schoutens, Wim

  • Introduces new concepts
  • Peer reviewed
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eBook $34.99
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  • ISBN 978-3-642-29721-2
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  • Immediate eBook download after purchase
Softcover $49.95
price for USA
  • ISBN 978-3-642-29720-5
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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.​

Table of contents (7 chapters)

  • Introduction to Asset-Backed Securities

    Campolongo, Francesca (et al.)

    Pages 3-16

  • Cashflow Modelling

    Campolongo, Francesca (et al.)

    Pages 17-29

  • Deterministic Models

    Campolongo, Francesca (et al.)

    Pages 33-42

  • Stochastic Models

    Campolongo, Francesca (et al.)

    Pages 43-53

  • Model Risk and Parameter Sensitivity

    Campolongo, Francesca (et al.)

    Pages 57-68

Buy this book

eBook $34.99
price for USA (gross)
  • ISBN 978-3-642-29721-2
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $49.95
price for USA
  • ISBN 978-3-642-29720-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Quantitative Assessment of Securitisation Deals
Authors
Series Title
SpringerBriefs in Finance
Copyright
2013
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
The Author(s)
eBook ISBN
978-3-642-29721-2
DOI
10.1007/978-3-642-29721-2
Softcover ISBN
978-3-642-29720-5
Series ISSN
2193-1720
Edition Number
1
Number of Pages
XXI, 112
Number of Illustrations and Tables
4 b/w illustrations, 28 illustrations in colour
Topics