CDS quotations for maturities of one, two, three, four, five, seven and 10 years will be calculated using Kamakura's own hybrid model.
The company said its data would allow CDO analysts to use more accurate correlation and credit spread figures: "CDO analysts have been forced to make simple assumptions about default correlations and credit spreads because of a lack of data," says Warren Sherman, Kamakura president and chief operating officer. "Research by Kamakura and many others shows that credit spreads are not determined by default probabilities and recovery rates alone."
The week on Risk.net, October 6-12, 2017Receive this by email
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