A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model
Pavel Okunev ()
Risk and Insurance from University Library of Munich, Germany
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
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpri:0506002
Access Statistics for this paper
More papers in Risk and Insurance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().