Fitch requests input on Vector upgrade
Fitch Ratings has requested comments from CDO market participants on upgrades to its Vector default model after the rating agency incorporated several updated assumptions on asset default probabilities, recovery rates and correlation.
The new model includes an updated framework for emerging markets and provides a more user-friendly interface with the introduction of a reference entity feed. “The increase in leverage in the European high-yield sector is a risk we have been monitoring closely, and
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