Fitch Ratings announced the launching of its new rating methodology for European consumer ABS transactions that incorporates Fitch's Default VECTOR ABS model. It is the first time that a multifactor Monte Carlo simulation model is applied to European consumer ABS portfolios. The new approach also offers the latest portfolio risk measurement techniques to originators, arrangers and investors active in the structured finance area.
"VECTOR ABS treats different portfolios differently," said Heather Dyke, senior director at Fitch. "Inputs into VECTOR ABS are fully flexible and Fitch's assumptions can be overwritten by the user. This means the model can also be applied to carry out sensitivity analysis, or to determine consumer portfolios' risk with assumptions set under the Basel II framework."