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  • - A Valuation Study
    af Antje Schirm
    849,95 kr.

    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.