Derivative Fitch has released a beta version of its Vector CFXO model for collateralised foreign exchange obligations (CFXOs). The model analyses portfolios of foreign exchange trigger options and combinations of FX options and sovereign credits.
The structural risks in a CFXO are similar to those in a synthetic CDO. However, the FX reference assets introduce new risk into the structure. Fitch's quantitative analysis of reference assets is based on Monte Carlo simulation using asymmetric Garc