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Asset-backed securities pose special problems for risk managers because of their contingent, path-dependent cash flows. This paper provides a high-level, conceptual view of 1) the difficulties involved in measuring the risk of asset-backed securities, 2) a methodology for overcoming those difficulties and 3) a software solution that can implement the chosen methodology for projecting potential profit-and-loss distributions of asset-backed securities at various future points in time or horizons.