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MSCI China Credit Card ABS Collateral Model

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

tags: model, china, abs, collateral, credit card,

This document describes the technical specification of 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).


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MSCI China Credit Card ABS Collateral Model