Fitch launches new CDO tool
Fitch Ratings has launched a new rating tool, Fitch Default Vector SME model, for rating small and medium-sized enterprise CDOs.
The launch coincides with the publication of a new rating methodology for European SME CDO deals. Fitch will use Vector, which is based on a Monte Carlo simulation, as the main quantitative facility. Vector analyses the probability of defaults, recovery rate assumptions and correlations.
The correlation framework complies with Basel II's application to small and medium
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