Credit Risk Securitisation: A Valuation Study - Antje Schirm - Books - Deutscher Universitats-Verlag - 9783824482429 - November 29, 2004
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Antje Schirm
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 Books     Paperback Book   (Book with soft cover and glued back)
Released November 29, 2004
ISBN13 9783824482429
Publishers Deutscher Universitats-Verlag
Pages 210
Dimensions 148 × 210 × 13 mm   ·   290 g
Language English   German  

See all of Antje Schirm ( e.g. Paperback Book )