Dealing with seller's risk
The risk of trade receivables securitisations comes from both the pool of assets and the seller of the assets. Vivien Brunel develops a model for securitisation exposures that deals with both risks, and analyses in detail the interplay between debtors' risk and seller's risk
In contrast with collateralised debt obligations (CDOs), which are now considered as vanilla products, asset securitisations exhibit a large variety of structures and underlying assets. On top of that, securitising assets induces another type of risk, namely seller's risk, which is a crucial issue in the rating agencies' criteria, especially for short-term assets such as trade receivables (Standard & Poor's, 1999). Debtors' risk and seller's risk are interdependent variables and, as far as we
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