Summary
In this chapter 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+.
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References
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© 2004 Springer-Verlag Berlin Heidelberg
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Kluge, D., Lehrbass, F.B. (2004). Some Remarks on the Analysis of Asset-Backed Securities. In: Gundlach, M., Lehrbass, F. (eds) CreditRisk+ in the Banking Industry. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-06427-6_18
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DOI: https://doi.org/10.1007/978-3-662-06427-6_18
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-05854-7
Online ISBN: 978-3-662-06427-6
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