Derivative Fitch launches beta CFXO model
The model can be used to analyse portfolios of foreign exchange trigger options and combinations of FX options and sovereign credits, said the derivatives analysis arm of rating agency Fitch.
CFXOs are the latest example of collateralised volatility obligations to generate significant interest in the structured finance market, said Stefan Bund, a managing director at Derivative Fitch in London.
CFXOs use a structure similar to that of synthetic CDOs; the structural risks in a CFXO are
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