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Credit Risk Securitisation
A valuation study
ISBN/EAN: 9783824482429
Umbreit-Nr.: 8798188
Sprache:
Englisch
Umfang: xxvii, 210 S., 8 farbige Illustr., 210 p. 8 illus.
Format in cm:
Einband:
kartoniertes Buch
Erschienen am 29.11.2004
Auflage: 1/2004
- Kurztext
- 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.