Sensitivity analysis and global rating for ABSs
Asset backed securities (ABSs) are structured finance products backed by pools of assets and created through a securitization process. The ratings of asset backed securities are partly based on quantitative models for the defaults and prepayments of the assets in the pool. This quantitative assessment is based on assumptions and estimations of input parameters that are affected by uncertainty. The uncertainty in these variables propagates through the model and produces uncertainty in the ratings. We propose to work with global sensitivity analysis techniques to investigate ABS ratings sensitivity to the input parameters and we introduce a novel structured financial rating to take into account uncertainty in assessment.
DI GIROLAMO Francesca;
CAMPOLONGO Francesca;
JONSSON Henrik;
SCHOUTENS Wim;
2011-12-01
Royal Flemish Academy of Belgium for Sciences and the Arts (KVAB)
JRC66067
https://publications.jrc.ec.europa.eu/repository/handle/JRC66067,
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