MSCI China Non-Collaterized Consumer Loan ABS Collateral Model
categories: Factor and Risk Modeling, Risk Management, Fixed Income
tags: model, china, abs, collateral, consumer loan, non-collateralized,
This document describes the technical specification of MSCI China Non-Collateralized Consumer Loan (NCCL) ABS Collateral Model that covers NCCL ABS deals. The model has three components: Prepayment (CPR), default (CDR), and Loss Severity (LGD).