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Hi @David Harper CFA FRM, I am revising some areas in Market Risk and came across a point (not in your notes), which suggest that HS is a parametric Approach. I have always been under the impression, until I saw this point, that HS was a nonparametric approach. In your notes you cited a...

Hi David I came across two view points under different authors which has caused some confusion. Choudhry asserts that assets are sold directly to the SPV which are the issuers, however, Ashcraft states that mortgages are sold to the Arranger also known as Issuer, who then sells to the SPV...