Fitch Ratings has upgraded its Default Vector model, which evaluates default risk in collateralised debt obligation (CDO) portfolios.Vector is used to analyse exposures in CDO portfolios, including asset-backed CDOs, leveraged loans and investment-grade corporates, which typically have 100 to 200 exposures. It is also used for synthetic CDO-squared transactions. Vector 2.1 can now accommodate 50 CDOs in total, up from version 2.0’s capacity of 30. The two versions are otherwise unchanged.
“It's an asset model, not a cashflow model”, said Matthias Neugebauer, London-based director at Fitch Ratings. “It produces expected default rates and expected loss rates for the portfolio,” he added. The CDO-squared market usually has between five and 15 CDO transactions, but the extra capacity gives users the option of analysing more than 30 if required.
More on Risk Management
Hedges required to lock in performance on constant currency terms impact product pricing
This study deliberates upon a proposed delta–gamma sensitivity analysis–extreme value theory (DGSA–EVT) model that focuses on the assessment of risk exposures represented by the value of valu...
Welcome to The Journal of Risk's Online Early Forum. Here you will find the latest peer reviewed, accepted papers before they are available in print. With Online Early publication, users can access...
Welcome to The Journal of Computational Finance's Online Early Forum. Here you will find the latest peer reviewed, accepted papers before they are available in print. With Online Early publication,...
Sign up for Risk.net email alerts
Sponsored video: MarketAxess
Sponsored video: Tradeweb
Multifonds talks to Custody Risk on being nominated for the Post-Trade Technology Vendor of the Year at the Custody Risk Awards 2014
Sponsored webinar: IBM Risk Analytics
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.