| 000 | 02668nam a22004815i 4500 | ||
|---|---|---|---|
| 001 | 978-3-642-29721-2 | ||
| 003 | DE-He213 | ||
| 005 | 20140220082847.0 | ||
| 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 |
_aBUS027000 _2bisacsh |
|
| 082 | 0 | 4 |
_a519 _223 |
| 100 | 1 |
_aCampolongo, Francesca. _eauthor. |
|
| 245 | 1 | 0 |
_aQuantitative Assessment of Securitisation Deals _h[electronic resource] / _cby Francesca Campolongo, Henrik Jönsson, Wim Schoutens. |
| 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 | _aMathematics. | |
| 650 | 0 | _aFinance. | |
| 650 | 1 | 4 | _aMathematics. |
| 650 | 2 | 4 | _aQuantitative Finance. |
| 650 | 2 | 4 | _aFinance/Investment/Banking. |
| 700 | 1 |
_aJönsson, Henrik. _eauthor. |
|
| 700 | 1 |
_aSchoutens, Wim. _eauthor. |
|
| 710 | 2 | _aSpringerLink (Online service) | |
| 773 | 0 | _tSpringer eBooks | |
| 776 | 0 | 8 |
_iPrinted edition: _z9783642297205 |
| 830 | 0 |
_aSpringerBriefs in Finance, _x2193-1720 |
|
| 856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-3-642-29721-2 |
| 912 | _aZDB-2-SBE | ||
| 999 |
_c96930 _d96930 |
||