Securitized Products Risk Charges: Going Beyond on SSFA

"For any securitized product with loss severities below 50%, the cost of capital for the bank improves when the pace of liquidation accelerates." Clearly, this is something that a strategist or credit modeler would like to know as she or he considers liquidation time lines... but how can one make such a statement based on a capital rule that does not refer to time, or LGD, or a 50% threshold? Well, those are the types of conclusions that you can derive by going the extra mile on SSFA. Let's take a look!

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