Moody’s Re-examines ABS CDO Correlation

Moody’s Investors Service is re-examining its correlation assumptions for tranches of collateralized debt obligations backed by asset-backed securities going into other CDOs.

  • 15 May 2007

--Olivia Thetgyi

Moody’s Investors Service is re-examining its correlation assumptions for tranches of collateralized debt obligations backed by asset-backed securities going into other CDOs. The agency is taking another look at the area as correlation between ABS CDO tranches may have increased in the past few months. "The increase ...

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