Pricing Asset-backed Securities: A Revised Model

Bradka, Lukas (2008) Pricing Asset-backed Securities: A Revised Model. [Dissertation (University of Nottingham only)] (Unpublished)

[img] PDF - Registered users only - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Download (370kB)


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.

Item Type: Dissertation (University of Nottingham only)
Keywords: asset backed securities, ABS
Depositing User: EP, Services
Date Deposited: 25 Sep 2008
Last Modified: 22 Oct 2016 17:11

Actions (Archive Staff Only)

Edit View Edit View