Quantitative assessment of securitisation deals
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 enh...
| Autor principal: | |
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| Otros Autores: | , , , |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
New York :
Springer
2013.
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| Edición: | 1st ed. 2013. |
| Colección: | SpringerBriefs in finance,
SpringerBriefs in Finance, |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009468742806719 |
| Sumario: | 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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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (122 p.) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781283612449 9786613924896 9783642297212 |
