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dissertation UNIVERSITE PARIS PANTHEON-SORBONNE MASTER MAEF - Spécialité Recherche MMMEF CASH FLOW MODEL Varsha JAIN Résumé La modélisation des ux dans le cadre des produits de titrisation cash est fondamentale pour appréhender les risques inhérents aux d

UNIVERSITE PARIS PANTHEON-SORBONNE MASTER MAEF - Spécialité Recherche MMMEF CASH FLOW MODEL Varsha JAIN Résumé La modélisation des ux dans le cadre des produits de titrisation cash est fondamentale pour appréhender les risques inhérents aux di ?érentes structures Pour évaluer les ?nancements structurés de type CDO ou ABS le département CQS Credit Quant Studies de Natixis Paris a développé un modèle de cash- ow basé sur la modélisation des ux selon un waterfall spéci ?é Cette méthodologie repose sur le concept d ? Expected Loss chaque tranche de titrisation se voit attribuer une notation relative à la perte attendue L ? objectif de ce rapport est d ? étudier et de développer une méthodologie quantitative de notation des tranches d ? ABS et de CDO fondée sur les mécanismes d ? allocation des cash ows des actifs titrisés Rapport de stage présenté le Septembre Jury Philippe BICH Professeur à Paris Université Paris - Bd de l ? Hôpital PARIS Micha? l TORDJMAN Directeur de Stage NATIXIS Laetitia LE DAIN Directrice de Stage NATIXIS Lieu de stage Rue Neuve Tolbiac PARIS CTABLE OF CONTENTS ABSTRACT ACKNOWLEDGEMENTS TERMINOLOGY CHAPTER INTRODUCTION CHAPTER WATERFALL Waterfall Accounts Actions Principal Payment Tests Implemented CHAPTER DISTRIBUTION OF CUMULATIVE DEFAULT RATE AND PREPAYMENT Distribution Type Speci ?c Input Parameters Prepayment Seasoning and Prepayment Common Input Parameters Rate Curve CHAPTER FORMULAE PROBLEM BEING WORKED ON BIBLIOGRAPHY CABSTRACT Securitization is more than just a ?nancial tool It is an important element in risk management for banks allowing them to not only remove substantial concentrations and values at risk but also permits them to acquire securitized assets with potential diversi ?cation bene ?ts When assets are removed from a bank ? s balance sheet with a de ?ned recourse or ?rst loss risk the bank limits its loss exposure to the amount of recourse or ?rst loss protection provided by it Credit and interest rate risks are the key uncertainties that concern domestic lenders By passing on these to investors or to third parties when credit enhancements are involved ?nancial ?rms are better able to manage their risk exposure The market of securitization has grown dramatically since its onset about three decades ago with the total outstanding issuance of securitized assets soon expected to reach US trillion Cash ow modelling is crucial to securitization and is a fundamental part of the credit-rating process Proper cash ow models have a structure ? s priority of payment waterfall imbedded in them and therefore are able to allocate all anticipated cash receipts in accordance with the transaction ? s legal documents It is the only way to dissect accurately the protections provided by a structure To evaluate securitization structures the CQS Credit Quantitative Study department of Natixis Paris has developed a waterfall tool to rate tranches of cash CDO and ABS transactions The ratings assigned to each class of the transaction re ect the assessment of the risk given the transaction ? s structure credit enhancement and legal structure So here in this paper