02823nam 2200649 a 450 991043787740332120200520144314.01-283-61244-597866139248963-642-29721-810.1007/978-3-642-29721-2(CKB)2670000000253898(EBL)972510(OCoLC)810144366(SSID)ssj0000767158(PQKBManifestationID)11442132(PQKBTitleCode)TC0000767158(PQKBWorkID)10733013(PQKB)10670108(DE-He213)978-3-642-29721-2(MiAaPQ)EBC972510(PPN)16831519X(EXLCZ)99267000000025389820120531d2013 uy 0engur|n|---|||||txtccrQuantitative assessment of securitisation deals /Francesca Campolongo, Henrik Jonsson, Wim Schoutens ; foreword by Anneli Peshkoff and Guido Bichisao1st ed. 2013.New York Springer20131 online resource (122 p.)SpringerBriefs in finance,2193-1720Description based upon print version of record.3-642-29720-X Includes bibliographical references and index.pt. 1. Introduction -- pt. 2. Modelling defaults and prepayments -- pt. 3. Model risk and parameter sensitivity -- pt. 4. Summary and conclusions.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.SpringerBriefs in Finance,2193-1720SecuritiesSecurities industryRisk managementSecurities.Securities industryRisk management.332.63/2Campolongo Francesca1064752Jonsson Henrik1757780Schoutens Wim536902Peshkoff Anneli1757781Bichisao Guido1757782MiAaPQMiAaPQMiAaPQBOOK9910437877403321Quantitative assessment of securitisation deals4195745UNINA