Quantitative assessment of securitisation deals. Foreword by Anneli Peshkoff and Guido Bichisao (Q2429371)

This book aims to provide a discerning synopsis on parameter sensitivity and model risk in asset-backed securities. The work is organised into four parts. The opening section presents a useful backdrop for the rest of the book and provides an interesting summary to asset-backed securities. Part two has two chapters. The first introduces a deterministic approach to modelling prepayment and default in an underlying portfolio. These include some traditional top-down default and prepayment models: the CDR, logistic default and CPR models. The second section discusses the inclusion of a stochastic factor. Here, the models include: Levy portfolio default model, the normal one-factor model and the generic one-factor Levy model. Model risk is assessed against the Normal one-factor model. This is followed by an analysis of the variability in ratings related to uncertainty in the mean default rate. In the second chapter of this section, the authors apply a global sensitivity analysis to parameter sensitivity. A fresh approach to the allocation of ratings to tranches is presented, with the intention of making global ratings more stable. The book finishes with a brief summary of the results presented. I found this section particularly motivating as it gives an overall contextual view of the work.