Fitch Ratings plans to expand its correlation modeling for structured credit referenced to both corporates and asset-backed securities to Asia. Matthias Neugebauer, associate director in the synthetic CDO team in London, said it will launch an updated Vector model before Christmas. The current model has industry and country correlation statistics for Europe and North America.
The model will add three baskets for corporate correlations--Japan, Australia and New Zealand, and an everywhere else catchall--and will have most of the developed regions for ABS in Asia.
