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ARCHIVE | Criteria | Structured Finance | CDOs: CDO Evaluator Applies Correlation and Monte Carlo Simulation to Determine Portfolio Quality Nov 01
Standard & Poors, Nov 2001
Abstract
Standard & Poor's new CDO Evaluator refines CDO credit criteria and analysis. This new system uses Monte Carlo statistical methodology to evaluate the credit quality of a portfolio of CDO assets. It takes into consideration the credit rating, size, and maturity of each asset, along with the correlation between each pair of assets. This article will describe in some detail the use of the CDO evaluator to evaluate the credit risk of a CDO asset portfolio. However, it is beyond the scope of this article to present CDO criteria in full. In particular, the article will not discuss any of the cash flow, structural or legal analysis or the Manager Focus product. It should be noted, however that the credit...
Standard and Poors RatingsXpress Credit Research provides in-depth coverage of international corporates, financial institutions, insurance companies, utilities, sovereigns and structured finance programs. RatingsXpress Credit Research lets users determine the credit rating of holdings and identify key factors underlying an issuer's creditworthiness, distinguishes the different risk exposures for new and existing deals, and provides an understanding of how their analysts interpret key regulatory, political and environmental events and their economic impact.
Research Type: Commentary
Criteria articles describe the thought process and methodology Standard & Poor's analysts use in determining ratings. These commentary pieces discuss both the quantitative (economic and financial) and qualitative (business analysis and caliber of management) aspects of the analysis, as well as legal issues.
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