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Credit Risk Securitisation

- A Valuation Study

Bag om Credit Risk Securitisation

Antje Schirm develops a pricing model for credit risk securitisation, explaining fair note issuance pricing by the underlying credit portfolio risk. The underlying credit portfolio risk is modelled in a market context and the observed payout mechanisms of securitisation structures are translated into a derivatives pricing context. Both these blocks together permit a comparison of fair model prices to issuance prices observed in the young securitisation market, such that discrepancies are uncovered.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783824482429
  • Indbinding:
  • Paperback
  • Sideantal:
  • 210
  • Udgivet:
  • 29. november 2004
  • Udgave:
  • 2005
  • Størrelse:
  • 210x148x13 mm.
  • Vægt:
  • 318 g.
  • 8-11 hverdage.
  • 5. december 2024

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Beskrivelse af Credit Risk Securitisation

Antje Schirm develops a pricing model for credit risk securitisation, explaining fair note issuance pricing by the underlying credit portfolio risk. The underlying credit portfolio risk is modelled in a market context and the observed payout mechanisms of securitisation structures are translated into a derivatives pricing context. Both these blocks together permit a comparison of fair model prices to issuance prices observed in the young securitisation market, such that discrepancies are uncovered.

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