Multi-Horizon Risk Measurement of Asset-Backed Securities - A Conceptual View

Topics:
Investment and Capital Markets
Tags:
Asset,
Asset Management,
Business Operations,
Operational Planning,
P&L
Source:
SAS Group

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Overview: Asset-backed securities pose special problems for risk managers because of their contingent, path-dependent cash flows. This paper provides a high-level, conceptual view of the difficulties involved in measuring the risk of asset-backed securities, a methodology for overcoming those difficulties and a software solution that can implement the chosen methodology for projecting potential profit-and-loss distributions of asset-backed securities at various future points in time or horizons.

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Format: PDF | Size: 719KB | Date: Mar 2005 | Pages: 32

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