Credit Risk Securitisation: A valuation study by Antje SchirmCredit Risk Securitisation: A valuation study by Antje Schirm

Credit Risk Securitisation: A valuation study

byAntje Schirm

Paperback | November 29, 2004

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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.
Dr. Antje Schirm ist wissenschaftliche Mitarbeiterin von Prof. Dr. Dr. h.c. Wolfgang Bühler am Center for Doctoral Studies in Economics and Management (CDSEM) und am Lehrstuhl für Finanzierung der Universität Mannheim.
Title:Credit Risk Securitisation: A valuation studyFormat:PaperbackDimensions:237 pages, 8.27 × 5.83 × 0.01 inPublished:November 29, 2004Publisher:Deutscher UniversitätsverlagLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3824482428

ISBN - 13:9783824482429


Table of Contents

Credit risk securitisation: structures and risk factorsUnderlying credit risk: a reduced-form factor modelModel estimationCDOs: valuation and model specificationThe relevance of credit enhancementsEmpirical pricing comparison: the case for synthetic DBOs