TY - GEN
T1 - Risk assessment of credit securities
T2 - 2012 6th IEEE International Conference on Digital Ecosystems and Technologies: Complex Environment Engineering, DEST 2012
AU - Cimato, Stelvio
AU - Damiani, Ernesto
AU - Gianini, Gabriele
PY - 2012
Y1 - 2012
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84864184084&partnerID=8YFLogxK
U2 - 10.1109/DEST.2012.6227954
DO - 10.1109/DEST.2012.6227954
M3 - Conference contribution
AN - SCOPUS:84864184084
SN - 9781467317030
T3 - IEEE International Conference on Digital Ecosystems and Technologies
BT - Proceedings of the 2012 6th IEEE International Conference on Digital Ecosystems and Technologies
Y2 - 18 June 2012 through 20 June 2012
ER -