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Credit Risk Securitisation: A Valuation Study Antje Schirm 2005 edition
Credit Risk Securitisation: A Valuation Study
Antje Schirm
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.
210 pages, 8 colour illustrations, 35 black & white tables, biography
| Médium | Knihy Paperback Book (Kniha s mäkkou väzbou a lepeným chrbtom) |
| Vydané | 29. novembra 2004 |
| ISBN13 | 9783824482429 |
| Vydavatelia | Deutscher Universitats-Verlag |
| Strany | 210 |
| Rozmery | 148 × 210 × 13 mm · 290 g |
| Jazyk | Angličtina Nemčina |