Title: Sensitivity analysis and global rating for ABSs
Citation: Actuarial and Financial Mathematics Conference Interplay between finance and insurance - ISBN 978-90-6569-087-6 p. 69-74
Publisher: Royal Flemish Academy of Belgium for Sciences and the Arts (KVAB)
Publication Year: 2011
JRC N°: JRC66067
URI: http://publications.jrc.ec.europa.eu/repository/handle/JRC66067
Type: Articles in periodicals and books
Abstract: 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.
JRC Directorate:Space, Security and Migration

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