Pricing Asset-backed Securities: A Revised Model
This paper deals with asset backed securities and the pricing thereof. First, an overview of debt markets is provided with a particular focus on the recent crisis in the sub prime markets. Second, literature surrounding securitization, asset backed securities and related types of debt is analysed an...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2008
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| Online Access: | https://eprints.nottingham.ac.uk/22128/ |
| _version_ | 1848792362402185216 |
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| author | Bradka, Lukas |
| author_facet | Bradka, Lukas |
| author_sort | Bradka, Lukas |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This paper deals with asset backed securities and the pricing thereof. First, an overview of debt markets is provided with a particular focus on the recent crisis in the sub prime markets. Second, literature surrounding securitization, asset backed securities and related types of debt is analysed and discussed. A revised pricing model for asset backed securities based on two existing models (Ebrahim, 2000; Ebrahim & Ahmed, 2007) is successively developed and implemented in Maple programming language. This model assumes access to symmetric information and provides optimum pricing for securities backed by a deprecating asset while collateralising the loan with the underlying asset and the income of the borrower. Finally, a sensitivity analysis is performed on the model, the results are analysed and conclusions drawn. Further extensions to the model are suggested. |
| first_indexed | 2025-11-14T18:43:12Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-22128 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:43:12Z |
| publishDate | 2008 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-221282017-12-31T13:43:08Z https://eprints.nottingham.ac.uk/22128/ Pricing Asset-backed Securities: A Revised Model Bradka, Lukas This paper deals with asset backed securities and the pricing thereof. First, an overview of debt markets is provided with a particular focus on the recent crisis in the sub prime markets. Second, literature surrounding securitization, asset backed securities and related types of debt is analysed and discussed. A revised pricing model for asset backed securities based on two existing models (Ebrahim, 2000; Ebrahim & Ahmed, 2007) is successively developed and implemented in Maple programming language. This model assumes access to symmetric information and provides optimum pricing for securities backed by a deprecating asset while collateralising the loan with the underlying asset and the income of the borrower. Finally, a sensitivity analysis is performed on the model, the results are analysed and conclusions drawn. Further extensions to the model are suggested. 2008 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/22128/1/08MSclixlb9.pdf Bradka, Lukas (2008) Pricing Asset-backed Securities: A Revised Model. [Dissertation (University of Nottingham only)] (Unpublished) asset backed securities ABS |
| spellingShingle | asset backed securities ABS Bradka, Lukas Pricing Asset-backed Securities: A Revised Model |
| title | Pricing Asset-backed Securities: A Revised Model |
| title_full | Pricing Asset-backed Securities: A Revised Model |
| title_fullStr | Pricing Asset-backed Securities: A Revised Model |
| title_full_unstemmed | Pricing Asset-backed Securities: A Revised Model |
| title_short | Pricing Asset-backed Securities: A Revised Model |
| title_sort | pricing asset-backed securities: a revised model |
| topic | asset backed securities ABS |
| url | https://eprints.nottingham.ac.uk/22128/ |