Quantitative Assessment of Securitisation Deals e-bog
436,85 DKK
(inkl. moms 546,06 DKK)
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 p...
E-bog
436,85 DKK
Forlag
Springer
Udgivet
5 september 2012
Genrer
Economics, Finance, Business and Management
Sprog
English
Format
pdf
Beskyttelse
LCP
ISBN
9783642297212
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.