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cdo rom
Posted: May 17th, 2007, 12:50 pm
by aemmedar
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?
cdo rom
Posted: May 17th, 2007, 6:57 pm
by PlasticSaber
AFAIK, Moody uses Binomial Expansion Technique (BET).
cdo rom
Posted: May 18th, 2007, 10:53 am
by aemmedar
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!
cdo rom
Posted: May 21st, 2007, 1:21 pm
by mikeoz
Send me a personal message if you want some papers from the agencies on their methodologies.