000 03163nam a22005295i 4500
001 978-3-642-29721-2
003 DE-He213
005 20210420093915.0
007 cr nn 008mamaa
008 120905s2013 gw | s |||| 0|eng d
020 _a9783642297212
_9978-3-642-29721-2
024 7 _a10.1007/978-3-642-29721-2
_2doi
050 4 _aHB135-147
072 7 _aKF
_2bicssc
072 7 _aMAT003000
_2bisacsh
072 7 _aKF
_2thema
082 0 4 _a519
100 1 _aCampolongo, Francesca.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
245 1 0 _aQuantitative Assessment of Securitisation Deals
_h[electronic resource] /
_cby Francesca Campolongo, Henrik Jönsson, Wim Schoutens.
250 _a1st ed. 2013.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg :
_bImprint: Springer,
_c2013.
300 _aXXI, 112 p. 32 illus., 28 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aSpringerBriefs in Finance,
_x2193-1720
505 0 _aPreface.-Introduction.-Introduction to Asset Backed Securities.-Cashflow modeling.-Deterministic Models -- Stochastic Models -- Model Risk and Parameter Sensitivity.-Global Sensitivity Analysis for ABS.-Summary.-A Large Homogeneous Portfolio Approximation -- A.1 The Gaussian One-Factor Model and the LHP Approximation.-A.2 Calibrating the Distribution.-Bibliography.
520 _aThe 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.
650 0 _aEconomics, Mathematical .
650 0 _aFinance.
650 1 4 _aQuantitative Finance.
_0https://scigraph.springernature.com/ontologies/product-market-codes/M13062
650 2 4 _aFinance, general.
_0https://scigraph.springernature.com/ontologies/product-market-codes/600000
700 1 _aJönsson, Henrik.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
700 1 _aSchoutens, Wim.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
710 2 _aSpringerLink (Online service)
773 0 _tSpringer Nature eBook
776 0 8 _iPrinted edition:
_z9783642297205
776 0 8 _iPrinted edition:
_z9783642297229
830 0 _aSpringerBriefs in Finance,
_x2193-1720
856 4 0 _uhttps://s443-doi-org.br.lsproxy.net/10.1007/978-3-642-29721-2
912 _aZDB-2-SMA
912 _aZDB-2-SXMS
942 _2ddc
_cEBK
999 _c380514
_d339076