Talking point - Structured finance CDO downgrades

In October one rating agency downgraded over $10 billion in US structured finance CDOs. Against a backdrop of further negative rating actions, Credit sought reaction from market participants

Rohan Douglas, CEO, Quantifi, New York

The scope, timing and severity of the recent rating agency downgrades are unprecedented and have led to widespread criticism of the agencies and their models. This intense scrutiny gives us a great opportunity to understand these models better and work out how they can be improved.

Rating agency models generally have common foundations incorporating default probabilities, recovery rates and correlations typically obtained from historical data. These models

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here