Central Banking

CDO rating methodology

New research paper from the Bank for International Settlements examines different methods of rating collateralised debt obligations (CDOs:

Abstract: Rating collateralised debt obligations (CDOs), which are based on tranched pools of credit risk exposures, does not only require attributing a probability of default to each obligor within the portfolio. It also involves assumptions concerning recovery rates and correlated defaults of pool assets, thus combining credit risk assessments of individu

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