Accounting fears drive structured credit initiative

New angles

The original impetus behind the new indexes was a growing unease among dealers regarding default correlation. Rating agencies and issuers of synthetic collateralised debt obligation (CDO) tranches and portfolio derivatives tend to use standard portfolio models – such as the Moody’s KMV Portfolio Manager – in pricing and ratings. These models typically use empirical, bivariate asset correlations as inputs. A simple copula calculation generates expected default times for the portfolio, provi

To continue reading...

You need to sign in to use this feature. If you don’t have a 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: