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|Title:||Quantitative Assessment of Securitisation Deals|
|Authors:||CAMPOLONGO Francesca; JOENSSON BENGT HENRIK BREDVAD; SCHOUTENS Wim|
|ISBN:||978-3-642-29720-5 (print), 978-3-642-29721-2 (online)|
|ISSN:||2193-1720 (print), 2193-1739 (online)|
|Abstract:||In this book, we give an overview of recently performed research on model risk and parameter sensitivity of asset backed securities (ABS) ratings. We believe that the book can give some insights and ideas on how to better analyse these risks inherent in credit ratings. One of the objectives of the book is to propose new default and prepayment models, which try to overcome some of the exposed weaknesses of the existing models (e.g. static, deterministic default and prepayment rates or the Gaussian factor models inability to produce many joint defaults). A second objective is to show how simple comparative statistics can be used to analyse model risk and parameter sensitivity. A third objective is to introduce and advocate global sensitivity analysis techniques that can be used to enhance the understanding of the variability of the ratings due to uncertainty in the input parameters used. Finally, we propose a novel rating approach that takes the uncertainty in the ratings into account when assigning ratings to a tranche.|
|JRC Directorate:||Space, Security and Migration|
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