Quantitative Assessment of Securitisation Deals (e-bog) af Schoutens, Wim
Schoutens, Wim (forfatter)

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
Forfattere Schoutens, Wim (forfatter)
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.