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Analyzing securitization processes using simulation methods
Author(s) -
Radoslaw Pytlak,
Marcin Wierzbicki
Publication year - 2007
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200700485
Subject(s) - securitization , profitability index , computer science , process (computing) , risk analysis (engineering) , business , financial system , finance , operating system
The aim of this paper is to present an analysis of securitization processes using simulation and optimization methods. We discuss the main risk factors that may affect profitability of the process. These risk factors are interest rates and mortgage prepayments. We combine latest risk factor models to create a consistent framework to analyze and improve securitization processes. We then show that making ad hoc securitization decisions may be far less efficient than by solving optimization problems. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)