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.
