图书名称：Quantitative Assessment of Securitisation Deals
作者：Francesca Campolongo, Henrik Jönsson, Wim Schoutens
出版社：Springer
出版时间：2013年
语言：English
图书描述：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.
Content:
Front Matter....Pages i-xxi
Front Matter....Pages 1-1
Introduction to Asset-Backed Securities....Pages 3-16
Cashflow Modelling....Pages 17-29
Front Matter....Pages 31-31
Deterministic Models....Pages 33-42
Stochastic Models....Pages 43-53
Front Matter....Pages 55-55
Model Risk and Parameter Sensitivity....Pages 57-68
Global Sensitivity Analysis for ABS....Pages 69-97
Front Matter....Pages 99-99
Summary....Pages 101-104
Back Matter....Pages 105-112
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