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Some remarks on the analysis of asset-backed securities. (English) Zbl 1095.91017
Gundlach, Matthias (ed.) et al., CreditRisk$$^+$$ in the banking industry. Berlin: Springer (ISBN 3-540-20738-4/hbk). Springer Finance, 311-323 (2004).
Summary: We discuss the analysis of asset-backed securities (ABS) in the environment of competitive risk-based pricing in the banking industry. We will cover the relevant aspects that need to be considered before investing in an ABS structure. When it comes to model-based pricing approaches a portfolio model is needed. The practitioner may either choose a simulation-based approach or an analytical model, where both have their advantages and shortcomings. We will focus on the usage of CreditRisk$$^+$$ in the context of ABS pricing, outline the prerequisites for running the model in practice and finally discuss the pricing of a simple ABS structure with CreditRisk$$^+$$.
For the entire collection see [Zbl 1046.91001].
##### MSC:
 91B28 Finance etc. (MSC2000) 91B30 Risk theory, insurance (MSC2010)
##### Keywords:
risk-based pricing; portfolio; CreditRisk$$^+$$