Summary |
Antje Schirm develops a pricing model for credit risk securitisation, explaining fair note issuance pricing by the underlying credit portfolio risk. This contribution resolves the two key issues on the research agenda from a strongly empirical perspective: firstly, the underlying credit portfolio risk is modeled in a market context. This allows for model estimation using prices of traded credit-risky securities. Secondly, observed payout mechanisms of securitisation structures are translated into a derivatives pricing context. Both building blocks together permit a comparison of fair model prices to issuance prices observed in the young securitisation market, such that discrepancies are uncovered.
This book is of interest to researchers and students in capital markets finance and to executives in banking, insurance, and asset management, especially to those working with credit derivatives, bonds, and credit portfolio management issues.
|
