Look-through Approach

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