Through the looking glass

ABS Valuations

This article illustrates two methodological tools for the evaluation of asset-backed securities (ABS) instruments and portfolios.

The first methodology calculates 'benchmark cash prices' for ABS tranches using descriptive and performance measures, as well as the asset-backed credit default swaps (CDS) quotes on them, where they are available.

By employing this methodology, one can fit a pricing curve across different tranches in the same deal, and perform pricing for tranches with similar characte

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