cdo rom

aemmedar · May 17th, 2007, 12:50 pm

I'm making a research on rating methodologies applied to synthetic CDOs. Could you suggest to me some papers about Moody's approach to estimate default probabilities used in CDO Rom?

PlasticSaber · May 17th, 2007, 6:57 pm

AFAIK, Moody uses Binomial Expansion Technique (BET).

aemmedar · May 18th, 2007, 10:53 am

I read that in 2004 Moody's introduced CDO Rom to rating synthetic CDOs and that it continues to use BET just for cash flow CDOs...Thanks however!

mikeoz · May 21st, 2007, 1:21 pm

Send me a personal message if you want some papers from the agencies on their methodologies.