Quantitative Assessment of Securitisation Deals

  • Francesca Campolongo
  • Henrik Jönsson
  • Wim Schoutens
Part of the SpringerBriefs in Finance book series (BRIEFSFINANCE)

Table of contents

  1. Front Matter
    Pages i-xxi
  2. Introduction

    1. Front Matter
      Pages 1-1
    2. Francesca Campolongo, Henrik Jönsson, Wim Schoutens
      Pages 3-16
    3. Francesca Campolongo, Henrik Jönsson, Wim Schoutens
      Pages 17-29
  3. Modelling Defaults and Prepayments

    1. Front Matter
      Pages 31-31
    2. Francesca Campolongo, Henrik Jönsson, Wim Schoutens
      Pages 33-42
    3. Francesca Campolongo, Henrik Jönsson, Wim Schoutens
      Pages 43-53
  4. Model Risk and Parameter Sensitivity

    1. Front Matter
      Pages 55-55
    2. Francesca Campolongo, Henrik Jönsson, Wim Schoutens
      Pages 57-68
    3. Francesca Campolongo, Henrik Jönsson, Wim Schoutens
      Pages 69-97
  5. Summary and Conclusions

    1. Front Matter
      Pages 99-99
    2. Francesca Campolongo, Henrik Jönsson, Wim Schoutens
      Pages 101-104
  6. Back Matter
    Pages 105-112

About this book

Introduction

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.

Keywords

91G40; 91G60; 65C05; 60J05; 60J75 asset-backed securities credit ratings global sensitivity analysis securitisation

Authors and affiliations

  • Francesca Campolongo
    • 1
  • Henrik Jönsson
    • 2
  • Wim Schoutens
    • 3
  1. 1.Joint Research Centre, Sci. Support to Financial Analysis UnitEuropean CommissionIspraItaly
  2. 2.Joint Research Centre, Sci Support to Financial Analysis UnitEuropean CommissionIspraItaly
  3. 3.Department of MathematicsK.U. LeuvenLeuvenBelgium

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-29721-2
  • Copyright Information The Author(s) 2013
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-29720-5
  • Online ISBN 978-3-642-29721-2
  • Series Print ISSN 2193-1720
  • Series Online ISSN 2193-1739
  • About this book