Truth or Consequences: Default Correlation Assumptions in the Modeling and Structuring of CDOs
From the Structured Credit Instruments conference
In this webcast presentation, Arturo Cifuentes answers the following:
- What should form the basis for default correlation assumptions used in the modeling of CDOs, and how are different tranches of CDO capital structure affected?
- What does observation of past performance tell us, and what does the market tell us about default correlation in the future?
- Is there one correlation "truth," and how should investors approach a market of products structured under divergent assumptions?
Speaker
Arturo Cifuentes is managing
director in the structured finance department at R.W. Pressprich &
Company. Previously, he was managing director and global head of
collateralized debt obligation (CDO) research at Wachovia Securities.
Prior to that, Dr. Cifuentes co-headed the structured products group at
Triton Partners. Widely credited with developing an important part of
the core methodology used by Moody's Investors Service to rate CDOs,
Dr. Cifuentes has contributed to the development of many analytical
techniques that are commonly used in the structured finance arena. In
addition, he has authored two books, four book chapters, and more than
40 technical and scientific articles. Dr. Cifuentes holds a degree in
civil engineering from the University of Chile, an MBA in finance from
New York University's Stern School of Business, and an MS in civil
engineering and a PhD in applied mechanics from the California
Institute of Technology.
This information is accurate as of the date of recording.