UBS Warburg’s Thomas to discuss next generation of CDO products at Risk Europe

Thomas’ thoughts on the development of the CDO market should prove interesting, as he assesses the performance of UBS Warburg’s proprietary credit system CreditDelta against other approaches such as ratings arbitrage, KMV’s default probabilities and credit spreads.

Thomas believes the standard rating arbitrage approach benefits investors for the high spread they achieve for a given tranche rating, that it is simple and widely used, and consistent with the approaches of the rating agencies. But

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