Difference between revisions of "Look-through Approach"
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[[Category:Risk Management]] | [[Category:Risk Management]] | ||
[[Category:Securitisation]] | [[Category:Securitisation]] | ||
Revision as of 12:27, 31 March 2021
Definition
Look-through Approach (LTA) denotes an approach to Risk Analysis that drills-down to and incorporates Risk Data and related considerations involving a deeper (second or more) layer.
Advantages
- Elimination of blind spots
- Capturing dependencies
Disadvantages
- Data availability
- Complexity
- Model Risk
Examples
- In analysing the credit risk in a portfolio of Securitisation one can manage at the level of securities or look-through to the underlying claims / collateral
