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Quantitative assessment of securitisation deals [electronic resource]
- 作者： Campolongo, Francesca.
- 其他作者：
- 其他題名：
- SpringerBriefs in finance.
- 出版： Berlin, Heidelberg : Springer Berlin Heidelberg :Imprint: Springer
- 叢書名： SpringerBriefs in finance,
- 主題： Asset-backed financing. , Asset-backed financing--Mathematical models. , Financial risk management. , Mathematics. , Quantitative Finance. , Finance/Investment/Banking.
- ISBN： 9783642297212 (electronic bk.) 、 9783642297205 (paper)
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FIND@SFXID:
CGU
- 資料類型: 電子書
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讀者標籤：
- 系統號： 005396945 | 機讀編目格式
館藏資訊
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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