COLLATERIZED DEBT OBLIGATION EVALUATION SYSTEM AND METHOD

摘要

A computerized system and method for evaluating collateralized debt obligations receives user input selecting a scenario or feature, loads data related to a portfolio of securitized assets on to the computer storage medium, determines a scenario default rate using at least one of a beta distributed recovery, a counterparty risk, a loss given default, or a non-zero inter-sector correlation, or models at least one of a short position scenario, a n^th to default basket, a forward start date and an equity default swap, and reports a result relating to the scenario default rate.