CDO evolution gathers pace


In November, rating agency Standard & Poor’s (S&P) announced that it had developed a new ‘drill-down’ methodology to assess the risk of loss to investors in synthetic collateraliseddebt obligations (CDOs) that reference other CDOs – so-called ‘CDOsof CDOs’ or ‘CDO-squared’ transactions.

S&P made the methodology, which was built into its ‘CDO Evaluator’ product – aMonte Carlo simulation tool for assessing CDO default risk – availablein December, but it thought it so important that the market be

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