SpringerBriefs in Finance

Campolongo, Francesca; Jönsson, Henrik; Schoutens, Wim

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.​

Details

Published by: Springer

Publication Date: 2012-09-06

Format: Paperback

ISBN-13: 9783642297205

DOI: 10.1007/978-3-642-29721-2

Dimensions: 235cm x155cm

Pages: 112