The idea of rating CPDOs and other structured products has caused rancour, as their expected loss effectively relies on the success of a trading strategy and has little to do with creditworthiness. Moreover, the strategy they rely upon has recently suffered due to higher-than-expected market volatility.
Jon Gregory, global head of credit derivatives quantitative analytics at Barclays Capital, said that competition for business among agencies had propelled them into rating the products. "The
The week on Risk.net, March 10-16 2018Receive this by email