The book draws on current research on model risk and parameter
sensitivity of securitisation ratings. It provides practical ideas
and tools that can facilitate a more informed usage of
securitisation ratings. We show how global sensitivity analysis
techniques can be used to better analyse and to enhance the
understanding of the uncertainties inherent in ratings due to
uncertainty in the input parameters. The text introduces a novel
global rating approach that takes the uncertainty in the ratings
into account when assigning ratings to securitisation products. The
book also covers new prepayment and default models that overcome
flaws in current models. "
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