Moody's picks ratings for revised SF correlation assumptions

  • 08 Jul 2005

Moody's has updated its correlation assumptions for structured finance CDOs. The agency now uses asset rather than default correlation, making assumptions based on historical ratings transitions over the past 20 years.

Previously, Moody's was using several approaches to arrive at default correlation assumptions, depending on ...

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5 Bank of America Merrill Lynch 831.08 4 5.70%