The Art of Credit Derivatives by Joao Garcia & Goossens Serge
Author:Joao Garcia & Goossens, Serge
Language: eng
Format: epub
Publisher: John Wiley & Sons, Ltd.
Published: 2010-05-10T16:00:00+00:00
Impact of changes on the average rating of the collateral portfolio
Changes in the ratings of the collateral pool affect the WARF of the pool and the probability of default of the idealized bond. Higher probabilities of default imply higher expected losses and lower ratings. Obviously, the junior tranches are the first to be impacted. This is confirmed by the results in Table 14.15.
Table 14.14 Impact of variations in the collateral pool
Table 14.15 Impact of downgrading the collateral by one notch
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