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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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2013.
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| Edición: | 1st ed. 2013. |
| Colección: | SpringerBriefs in Finance,
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| Temas: | |
| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- Preface.-Introduction.-Introduction to Asset Backed Securities.-Cashflow modeling.-Deterministic Models
- Stochastic Models
- Model Risk and Parameter Sensitivity.-Global Sensitivity Analysis for ABS.-Summary.-A Large Homogeneous Portfolio Approximation
- A.1 The Gaussian One-Factor Model and the LHP Approximation.-A.2 Calibrating the Distribution.-Bibliography.