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Monte Carlo makes inroads into synthetic CDOs: Moody's announces change in methodology

Moody's Investors Service announced that it has modified its approach for rating synthetic collateralized debt obligations, moving to Monte Carlo simulation-based models from binomial approaches. In many circles, particularly Europe, the change is a significant one.

Dubbed "correlation-intensive structures," the list of securities affected includes static synthetic CDOs-of-CDOs, CDOs...

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