Fitch upgrades capacity for CDO default risk tool
Fitch Ratings has upgraded its Default Vector model, which evaluates default risk in collateralised debt obligation (CDO) portfolios.
“It's an asset model, not a cashflow model”, said Matthias Neugebauer, London-based director at Fitch Ratings. “It produces expected default rates and expected loss rates for the portfolio,” he added. The CDO-squared market usually has between five and 15 CDO transactions, but the extra capacity gives users the option of analysing more than 30 if required.
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