Quantitative analysis and analytical methods to price securitization deals
The University Centre receiving the EIBURS on this line of research is expected to be involved in advanced research related to the pricing and risk valuation of Asset-Backed Securities (ABS), in particular with respect to Collateralized Loan Obligations (CLO). Typical aspects to be analysed would be expected maturity, credit risk and the value of the different CLO tranches, as well as the performance of models (both models known in the literature and potential innovative ones) in explaining secondary market prices, using a sample of specific transactions, and how they compare to existing approaches of rating agencies.
The project may involve any additional activity that the University Centre would be ready to undertake with the sponsorship in the line of research, including:
Related information:
The project may involve any additional activity that the University Centre would be ready to undertake with the sponsorship in the line of research, including:
- Original research
- Organization of courses and seminars
- Development of software
- Creation of databases
Related information:
- Working Programme
- University: www.eurandom.tue.nl
- Connie M.M. Cantrijn
- Cantrijn@eurandom.tue.nl