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Credit Risk Securitisation

Credit Risk Securitisation

Antje Schirm

66,53 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2004
Materia
Finanzas
ISBN:
9783824482429
66,53 €
IVA incluido
Disponible

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Sobre IBD

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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