Category Archives: David Abitbol

New! R&R CDS Valuation Engine: CDSMetrics

By admin | Published: August 13, 2007

R&R Consulting will launch a CDS of ABS valuation engine, CDSMetrics. This includes CDS contracts written on individual tranches of RBMS transactions. CDSMetrics is a web-enabled application successfully used by hedge fund clients of R&R to value CDS of RMBS contracts. CDSMetrics uses a loss distribution in concert with Monte Carlo simulation to generate a ... Read more

Also posted in Reform, Sylvain Raynes, Synthetic Credit | Leave a comment

  • Press Releases

  • FEATURED CONTENT

    R&R Consulting in DealBook: A Would-Be Ratings Agency Without Rose-Colored Glasses BY WILLIAM ALDEN

    Available by request: ABSTRAK valuations of primeX indices.

    PIT Ratings Portfolio rankings of >100,000 structured securities.

  • Recent Film Fund-amentals Posts

  • Recent Credit Spectrum Posts

  • R&R Research

    Joint Obligations in Consumer ABS: Mathematics of counterparty credit risk measurement. Thomas Adams, guest author.

  • Categories




  • Cybernetic

    How enterprise and capital systems dovetail....

  • CreditSpectrum Archives