Synthetic expected loss approach outlined

Category: ABS Capital Relief Trades


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Scope has published research that offers a technical illustration of how the expected loss framework described in its general structured finance rating methodology can be implemented for tranches of simple synthetic securitisations. Further, the report describes how expected loss can be calculated in practical cases.

Simple synthetic securitisations generally allocate losses from a reference portfolio of assets, for which an investor is the protection seller.

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