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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).


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MSCI China Non-Collateralized Consumer Loan ABS Collateral Model