CPDO ratings scorned at credit risk summit

The idea of rating CPDOs and other structured products has caused rancour, as their expected loss effectively relies on the success of a trading strategy and has little to do with creditworthiness. Moreover, the strategy they rely upon has recently suffered due to higher-than-expected market volatility.

Jon Gregory, global head of credit derivatives quantitative analytics at Barclays Capital, said that competition for business among agencies had propelled them into rating the products. "The

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: