Quantitative Assessment of Securitisation Deals

Nonfiction, Science & Nature, Mathematics, Applied, Business & Finance, Finance & Investing, Finance
Cover of the book Quantitative Assessment of Securitisation Deals by Francesca Campolongo, Henrik Jönsson, Wim Schoutens, Springer Berlin Heidelberg
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Author: Francesca Campolongo, Henrik Jönsson, Wim Schoutens ISBN: 9783642297212
Publisher: Springer Berlin Heidelberg Publication: September 5, 2012
Imprint: Springer Language: English
Author: Francesca Campolongo, Henrik Jönsson, Wim Schoutens
ISBN: 9783642297212
Publisher: Springer Berlin Heidelberg
Publication: September 5, 2012
Imprint: Springer
Language: English

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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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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