Quantitative assessment of securitisation deals / / Francesca Campolongo, Henrik Jonsson, Wim Schoutens ; foreword by Anneli Peshkoff and Guido Bichisao
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| Autore: |
Campolongo Francesca
|
| Titolo: |
Quantitative assessment of securitisation deals / / Francesca Campolongo, Henrik Jonsson, Wim Schoutens ; foreword by Anneli Peshkoff and Guido Bichisao
|
| Pubblicazione: | New York, : Springer, 2013 |
| Edizione: | 1st ed. 2013. |
| Descrizione fisica: | 1 online resource (122 p.) |
| Disciplina: | 332.63/2 |
| Soggetto topico: | Securities |
| Securities industry - Risk management | |
| Altri autori: |
JonssonHenrik
SchoutensWim
PeshkoffAnneli
BichisaoGuido
|
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references and index. |
| Nota di contenuto: | pt. 1. Introduction -- pt. 2. Modelling defaults and prepayments -- pt. 3. Model risk and parameter sensitivity -- pt. 4. Summary and conclusions. |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Quantitative assessment of securitisation deals |
| ISBN: | 1-283-61244-5 |
| 9786613924896 | |
| 3-642-29721-8 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910437877403321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
SpringerBriefs in Finance, . 2193-1720