Titlebook: Quantitative Assessment of Securitisation Deals; Francesca Campolongo,Henrik Jönsson,Wim Schoutens Book 2013 The Author(s) 2013 91G40; 91G

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Model Risk and Parameter Sensitivityxposure to model and methodology risk, because there exists a vast amount of quantitative models and approaches to choose between, each producing different asset behaviour and portfolio loss distributions. The parameter values which are used as inputs to the quantitative models, such as mean cumulat

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Cashflow Modellingch depends on the behaviour of the pooled assets. The second step is to model the payment waterfall, that is, the distribution of the cash collections to the issuer, the servicer, the note holders and other transaction parties. In this chapter, we make some general comments on the cashflow modelling of securitisation deals.

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Book 2013acilitate a more informed usage of securitisation ratings. We show how global sensitivity analysis techniques can be used to better analyse and to enhance the understanding of the uncertainties inherent in ratings due to uncertainty in the input parameters. The text introduces a novel global rating