Verlag:
Deutscher Universitätsverlag Unsere-Artikel-Nr.: P35456709
EAN: 9783824482429
Erhältlich:
Nicht auf Lager
Zustellung: Di, 06.10.2026
Versand: Kostenlos
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CHF 69.–
CHF 61.–
Beschreibung
Credit risk securitisation permits to transfer credit default risk of bank loan portfolios to capital market investors. Both market sides realise distinct benefits: Seen from a sell-side perspective, securitisation is a powerful tool for credit risk mitigation recognised by the supervisory authorities. Seen from a buy-side perspective, investors gain exposure to portfolio credit risk by acquiring tailor-made notes, designed to meet their individual risk preferences. Being a novel investment, price discovery for issued notes is an intriguing issue. 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 modelled 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.
Spezifikationen
Sprache
- Englisch
Autor
- Antje Schirm
Zielgruppe
- Research
Erscheinungsjahr
- 2004
Format
- Buch (Softcover)
Anzahl Seiten
- 210