MWSA News

The next generation of Monte Carlo Analytics to evaluate whole portfolios of Collateral Debt Obligations is now available.

The new Portfolio Monte Carlo model builds on the first version of WSA's Monte Carlo simulation package for single CDO deals and incorporates all the key inputs in evaluating CDO tranche performance and pricing available in it. The model passes the results of asset simulations through the full waterfall structure of each deal. In the simulation, thousands of individual scenario runs converge to provide more accurate valuation and risk measurements of a grouping of CDO tranches than could have been attained using more traditional techniques.

Investors or managers of multiple deals can now select different combinations of tranches and build different portfolios to run dynamic Monte Carlo simulations and better understand the risks inherent their overall portfolio.