Girolamo, Francesca Di; Jonsson, Henrik; Campolongo, … - In: International Journal of Financial Research 3 (2012) 4, pp. 46-68
The rating of asset-backed securities is partly based on quantitative models for the defaults and prepayments of the assets in the pool. This quantitative approach contains a number of assumptions and estimations of input variables whose values are affected by uncertainty. The uncertainty in...