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＜電子ブック＞
Quantitative Assessment of Securitisation Deals / by Francesca Campolongo, Henrik Jönsson, Wim Schoutens
(SpringerBriefs in Finance. ISSN:21931739)

版	1st ed. 2013.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	2013
大きさ	XXI, 112 p. 32 illus., 28 illus. in color : online resource
著者標目	*Campolongo, Francesca author Jönsson, Henrik author Schoutens, Wim author SpringerLink (Online service)
件　名	LCSH:Social sciences—Mathematics LCSH:Finance FREE:Mathematics in Business, Economics and Finance FREE:Financial Economics
一般注記	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 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 HTTP:URL=https://doi.org/10.1007/978-3-642-29721-2

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