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MSCI China RMBS Collateral Model

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

tags: model, china, abs, collateral, rmbs,

This document describes the technical specification of MSCI China RMBS collateral model that covers RMBS deals. The model has three components: Prepayment (CPR), default (CDR), and Loss Severity (LGD).


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MSCI China RMBS Collateral Model