Cashflow Modelling

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

Abstract

The modelling of the cashflows in a securitisation deal consists of two steps: the modelling of the cash collections from the asset pool and the distribution of the collections to the note holders and other transaction parties. The first step is to model the cash collections from the asset pool, which depends on the behaviour of the pooled assets. The second step is to model the payment waterfall, that is, the distribution of the cash collections to the issuer, the servicer, the note holders and other transaction parties. In this chapter, we make some general comments on the cashflow modelling of securitisation deals.

Keywords

Interest Rate Interest Payment Payment Date Reserve Account Default Loan 
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Reference

  1. 1.
    Moody’s Investor Service : Contradictions in terms: variations in terminology in the mortgage market. International Structured Finance, Special, Report, 9 June 2000Google Scholar

Copyright information

© The Author(s) 2013

Authors and Affiliations

  • Francesca Campolongo
    • 1
  • Henrik Jönsson
    • 1
  • Wim Schoutens
    • 2
  1. 1.Joint Research Centre, Science Support to Financial Analysis UnitEuropean CommissionIspraItaly
  2. 2.Department of MathematicsKatholieke Universiteit LeuvenLeuvenBelgium

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