Diversity Score

外汇网2021-06-19 20:56:24 144

A measure, created by Moody's Investors Service, to estimate the persification in a portfolio, specifically in the context of a collateralized debt obligation (CDO). The calculation methodology for a persification score takes into account the extent to which a portfolio is persified by industry.

|||Technically speaking, the persification score measures the number of uncorrelated assets that would have the same loss distribution as the actual portfolio of correlated assets. For example, if a portfolio of 100 assets had a persification score of 50, this means that the 100 correlated assets have the same loss distribution as 50 uncorrelated assets.

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