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Technical Note - European ABS Coverage

This Technical Note summarizes the new European ABS coverage offered by RiskManager. Coverage of single currency deals, i.e. collateral, tranches, and floating rate index dependencies are in the same currency. Current release supports both Securitized Tranche and Securitized Tranche Sensitivity models.

Why is this topic of interest?

Previously European ABS positions have been modeled as generic bonds, current solution relies on the Intex cashflow Engine and a static collateral model, providing better analytics.

Who should read this paper?

Risk managers, portfolio managers who have European ABS positions in their holdings.