Credit Risk Securitisation: A Valuation Study - Antje Schirm - Bøker - Deutscher Universitats-Verlag - 9783824482429 - 29. november 2004
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Credit Risk Securitisation: A Valuation Study 2005 edition

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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

Media Bøker     Pocketbok   (Bok med mykt omslag og limt rygg)
Utgitt 29. november 2004
ISBN13 9783824482429
Utgivere Deutscher Universitats-Verlag
Antall sider 210
Mål 148 × 210 × 13 mm   ·   290 g
Språk Engelsk   Tysk  

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