- The Securitization Market in 2016 and Trends
- Structuring and Grouping of ABS Transactions
- Securitization Applications: Examples and Case Studies
- The Use of Securitization in Bank Capital Management
- Significant Risk Transfer (SRT)
- Using Securitization to Manage Liquidity and Liquidity Ratios
- Investing in Asset-Backed Securities and CDO tranches
- Enhancing Yield and Improving Portfolio Performance
- Legal, Regulatory and Taxation Issues
The objective of this seminar is to give you a thorough introduction to Asset Securitization and a good understanding of its uses in bank capital management and the investing process. We start with the classification of portfolio securitization in the context of structured products, highlight the targets of a deal and describe the roles of the different parties involved in a transaction. We also explain the key motivations for ABS transactions in the current market and regulatory environment.
After making the auditorium familiar with the topic, the focus is on quantitative management from a risk control and investment point of view. We present the quantitative techniques to measure the impact of securitization and to price CDO tranches.
We then study the mathematical basics of ABS rating agency models and give a detailed description of the credit risk model the CRR and the significant risk transfer (SRT). Our examples involve a detailed description of a partially funded synthetic balance sheet CLO structure where the significant risk transfer according to article 244 CRR is intended.
Next, we show how to categorize the different risks that come into play with different structures and we display the way from a first indicative risk assessment to an in depth risk analysis. Finally, we look at how to calculate regulatory equity relief and to apply risk steering methods for the economic risk transfer.