Risk assessment of credit securities: The notion and the issues

S. Cimato, E. Damiani, G. Gianini
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Abstract

Assessing risk associated to structured financial products requires processing information about diverse risk factors. Some information comes from the different sources directly in aggregated form, so that it is not possible to estimate the correlation among different risk components. In this paper we argue that Secure Multiparty Computation could be used to merge the information from the different sources so as to compute more accurately the overall risk profile of securitized assets, thanks to the use of reliable information from the individual sources, but without disclosing the information from each source. Our simple model for securitization can solve in many cases information asymmetries between lenders and borrowers.
信用证券风险评估:概念与问题
评估与结构性金融产品相关的风险需要处理有关各种风险因素的信息。有些信息直接以汇总的形式来自不同的来源,因此无法估计不同风险成分之间的相关性。在本文中,我们认为安全多方计算可以用于合并来自不同来源的信息,从而更准确地计算证券化资产的总体风险特征,这要归功于使用来自单个来源的可靠信息,但不披露来自每个来源的信息。我们简单的证券化模型可以在许多情况下解决贷款人和借款人之间的信息不对称。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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