Sense and Sensitivity: An Input Space Odyssey for Asset-Backed Security Ratings
| العنوان: | Sense and Sensitivity: An Input Space Odyssey for Asset-Backed Security Ratings |
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| المؤلفون: | Francesca Di Girolamo, Francesca Campolongo, Henrik Jönsson, Wim Schoutens |
| المصدر: | International Journal of Financial Research. 3 |
| بيانات النشر: | Sciedu Press, 2012. |
| سنة النشر: | 2012 |
| مصطلحات موضوعية: | Actuarial science, Economics, Econometrics and Finance (miscellaneous), Structured finance, Asset-backed security, Rating, Sensitivity analysis, Default model, Asset-backed security, Space (commercial competition), Global Rating, Accounting, Economics, Econometrics, Structured finance, Default, Sensitivity analysis, Sensitivity (control systems), Business and International Management, Uncertainty analysis |
| الوصف: | The rating of asset-backed securities is partly based on quantitative models for the defaults and prepayments of the assets in the pool. This quantitative approach contains a number of assumptions and estimations of input variables whose values are affected by uncertainty. The uncertainty in these variables propagates through the model and produces uncertainty in the ratings. The objectives of this paper are twofold. Firstly, we advocate the use of uncertainty and sensitivity analysis techniques to enhance the understanding of the variability of the ratings due to the uncertainty in the inputs used in the model. Secondly, we propose a novel rating approach called global rating, that takes this uncertainty in the output into account when assigning ratings to tranches. |
| تدمد: | 1923-4031 1923-4023 |
| الوصول الحر: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::337f9624bc5402c1416db96ba20fef53Test https://doi.org/10.5430/ijfr.v3n4p46Test |
| حقوق: | OPEN |
| رقم الانضمام: | edsair.doi.dedup.....337f9624bc5402c1416db96ba20fef53 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 19234031 19234023 |
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