S&P updates CDO Evaluator

Standard & Poor's has launched version 3.2 of its CDO Evaluator modelling application. The new version makes changes to default assumptions used for the ABS table, which looks at assumed default rates for structured finance assets. The new table aims to bring the assumed default curve in line with actual defaults. S&P says that historical data can provide a more robust analytical basis for the ABS table, despite reservations concerning the limitations of sample size and historical maturity.

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