EconPapers    
Economics at your fingertips  
 

A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model

Pavel Okunev ()

Risk and Insurance from EconWPA

Abstract: We propose a fast algorithm for computing the expected tranche loss in the Gaussian factor model. We test it on a 125 name portfolio with a single factor Gaussian model and show that the algorithm gives accurate results. We choose a 125 name portfolio for our tests because this is the size of the standard DJCDX.NA.HY portfolio. The algorithm proposed here is intended as an alternative to the much slower Moody's FT method.

Keywords: Moody's Fourier Transform method; portfolio loss distribution; DJCDX; CDS portfolio; CDS; expected tranche loss (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp and nep-rmg
Date: 2005-06-07
Note: Type of Document - pdf; pages: 6
References: Add references at CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://econwpa.repec.org/eps/ri/papers/0506/0506002.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpri:0506002

Access Statistics for this paper

More papers in Risk and Insurance from EconWPA
Series data maintained by EconWPA ().

 
Page updated 2017-06-25
Handle: RePEc:wpa:wuwpri:0506002