Credit risk securitisation : a valuation study

Schirm, Antje

Document Type: Doctoral dissertation
Year of publication: 2004
Place of publication: Wiesbaden
Publishing house: Dt. Univ.-Verl.
ISBN: 3-8244-8242-8
University: Universität Mannheim
Evaluator: Bühler, Wolfgang
Date of oral examination: 21 July 2004
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Bühler 1990-2009, Em)
Subject: 330 Economics
Abstract: 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.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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