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

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

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Year of publication:	[2005]
Authors:	Okunev, Pavel
Publisher:	[2005]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (6 p)
Type of publication:	Book / Working Paper
Other identifiers:	10.2139/ssrn.739467 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012736361