Titolo

The ''new'' Geithner plan

1 commento (espandi tutti)

To evaluate a CDO with copulae you need:

1) the cumulative marginal distribution of default of the members of the pool;

2) the correlation among the members.

In theory you should know 1) but in practice I do not think you really know because they misclassified people on purpose to give them a mortgage....

The correlation of point 2) depends on both the future macrovariables and the classification of the people pooled into CDO.

So I think they really do not know.