Credit Risk Securitisation
- A Valuation Study
- Indbinding:
- Paperback
- Sideantal:
- 210
- Udgivet:
- 29. november 2004
- Udgave:
- 2005
- Størrelse:
- 210x148x13 mm.
- Vægt:
- 318 g.
Leveringstid:
8-11 hverdage
Forventet levering: 26. november 2024
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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