Quantitative Assessment of Securitisation Deals

by Francesca Campolongo, Henrik Jönsson, Wim Schoutens

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...

• Format: Paperback
• Language: English
• ISBN: 364229720X
• ISBN13: 9783642297205
• Release Date: September 2012
• Publisher: Springer
• Length: 112 Pages
• Weight: 0.45 lbs.
• Dimensions: 0.5" x 6.1" x 9.0"