Citi to use Moody’s KMV tracking error system
The Yield Book, Citigroup’s analytics unit for the asset management community, is to incorporate public default probability measures from Moody’s KMV into a new tracking error algorithm.
Citigroup says that the new tracking error function will allow asset managers to calculate and decompose tracking error versus the suite of Citigroup indexes as well as user-defined benchmarks. The incorporation of these credit measures—known as Expected Default Frequency (EDF)—extends The Yield
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