Difference between revisions of "Look-through Approach"
From Open Risk Manual
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== Disadvantages == | == Disadvantages == | ||
| − | * Data | + | * [[Data Availability]] |
* Complexity | * Complexity | ||
| − | * Model Risk | + | * [[Model Risk]] |
== Examples == | == Examples == | ||
Revision as of 13:01, 30 September 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
