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CDO Training Program

CDO Training Program

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Published by: jju1047 on Jan 17, 2012
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11/14/2015

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Whatare themain drivers ofthelossdistribution?

Key 1 factor= Defaultrate ofeachentity

ThehigherthePD rate oftheportfolio, themore important thecumulative losses

Key 2 factor= Correlation

Thehigherthecorrelation, themore fat tailedthecumlossdistribution

Key 3 factor= Tenor

ThehighertheCDO maturity, themore important thecumulative losses

Otherparametersoflesserimpact

Diversification (# ofnames)

LGD

Impact level
on the
cumlosscurve

EL

Ec Cap

Fat Tail

Rating

Spread

Default Prob

Increase

Increase

Increase

Deteriorate

Increase

Tenor

Increase

Increase

Increase

Deteriorate

Increase

Correlation

Neutral

Increase

Increase

Increase on Senior tranche
Decrease on Eqty tranche
Neutral on Mezz. Tranche

Increase on Senior tranche
Decrease on Eqty tranche
Neutral on Mezz. Tranche

Impacts on Cum Loss Distribution

-C:\USERS\Stephane DELAINE\STR -CDO CWA&investissement\presenations\post asian seminar slides -30/03/2007 17:07:02

Tenor impact
on portfolio loss distribution

-C:\USERS\Stephane DELAINE\STR -CDO CWA&investissement\presenations\post asian seminar slides -30/03/2007 17:07:02

CDO training program

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