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dc.contributor.authorCAMPOLONGO Francescaen_GB
dc.contributor.authorJOENSSON Bengt Henrik Bredvaden_GB
dc.contributor.authorSCHOUTENS Wimen_GB
dc.date.accessioned2013-03-08en_GB
dc.date.available2013-03-08en_GB
dc.date.created2013-01-30en_GB
dc.date.issued2013en_GB
dc.date.submitted2012-09-27en_GB
dc.description.abstractIn 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.
en_GB
dc.description.sponsorshipJRC.G.1 - Scientific Support to Financial Analysisen_GB
dc.format.mediumPrinten_GB
dc.identifier.citationCampolongo F, Joensson B, Schoutens W. Quantitative Assessment of Securitisation Deals. Springer; 2013. JRC75172en_GB
dc.identifier.doi10.1007/978-3-642-29721-2en_GB
dc.identifier.isbn978-3-642-29720-5 (print)en_GB
dc.identifier.isbn978-3-642-29721-2 (online)en_GB
dc.identifier.issn2193-1720 (print)en_GB
dc.identifier.issn2193-1739 (online)en_GB
dc.identifier.urihttp://www.springer.com/mathematics/quantitativeen_GB
dc.identifier.urifinance/book/978-3-642-29720-5en_GB
dc.identifier.urihttps://publications.jrc.ec.europa.eu/repository/handle/JRC75172en_GB
dc.languageENGen_GB
dc.publisherSpringeren_GB
dc.relation.ispartofseriesJRC75172en_GB
dc.titleQuantitative Assessment of Securitisation Dealsen_GB
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