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Credit Risk Securitisation: A Valuation Study

Credit Risk Securitisation: A Valuation Study

Paperback

AccountingInvesting & Finance

ISBN10: 3824482428
ISBN13: 9783824482429
Publisher: Deutscher Universitatsverlag
Published: Nov 29 2004
Pages: 210
Weight: 0.64
Height: 0.51 Width: 5.83 Depth: 8.27
Language: English
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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