Commerzbank signs up for CDOSheet in NY

Tech News

Commerzbank's market risk group in New York has started using CDOSheet from London-based vendor CDO˜ to price its collateralised debt obligations (CDOs) and CDOs of CDOs (CDOs-squared).

The tool uses a Monte Carlo-based simulation to calculate deltas, a measure of the sensitivity of the price of the CDO to movement in the underlying bonds, and the risk of default in the CDO, on a daily basis.

"Our main requirement is from a regulatory standpoint: to be able to price and be able to

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