Look-through Approach
From Open Risk Manual
Revision as of 12:27, 31 March 2021 by Wiki admin (talk | contribs)
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
