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MSCI China ABS Collateral Model

categories: Factor and Risk Modeling, Risk Management, Fixed Income

tags: model, china, abs, collateral,

This document describes the technical specification of: -MSCI China Auto Loan ABS Collateral Model that covers auto loan ABS deals. The model has three components: Prepayment (CPR), default (CDR). and Loss Severity (LGD). -MSCI China Credit Card ABS Collateral Model that covers Credit Card ABS deals. The model has three components: Prepayment (CPR), default (CDR), and Loss Severity (LGD). -MSCI China RMBS Collateral Model that covers RMBS deals. The model has three components: Prepayment (CPR), default (CDR), and Loss Severity (LGD). -MSCI China Non-Collaterlized Consumer Loan ABS Collateral Model that covers NCCL ABS deals. The model has three components: Prepayment (CPR), default (CDR), and Loss Severity (LGD). -MSCI China Non-Performing Loan ABS Collateral Model that covers NPL ABS deals. The model has one component: cumulative recovery rate curve, conditional on collateral type (credit card, residential mortgage, corporate loan), and deal age.


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MSCI China ABS Collateral Model