Main category
Economics (General Management)
Abstract
The purpose of the credit risk calculator is to ensure that the expected loss that can occur from the guarantor’s (CMHC’s) perspective is covered by the guarantee fee. From CMHC’s perspective, the risk of loss will occur if an AAA/AA swap counterparty fails instantaneously without any rating migration to a lower state (i.e., AA to A). Under a normal rating migration, the swap counterparty to the Trust would have to collateralize its exposure.
Further reading
https://ia904704.us.archive.org/11/items/creditRiskCalculator/creditRiskCalculator.pdf
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