Credit Risk Securitisation: A valuation study

Antje Schirm develops a pricing model for credit risk securitisation, explaining fair note issuance pricing by the underlying credit portfolio risk. The underlying credit portfolio risk is modelled in a market context and the observed payout mechanisms of securitisation structures are translated into a derivatives pricing context. Both these blocks together permit a comparison of fair model prices to issuance prices observed in the young securitisation market, such that discrepancies are uncovered.