The Current Expected Credit Loss (CECL) framework represents a new approach for calculating the allowance for credit …, a key implementation element. Our analysis focuses on three major themes: defaults, balances, and credit loss. Our …

the case of large, overlapping credit portfolios. We analytically calculate the multivariate joint loss distribution of … obligations to protect the more senior tranches from high losses. We analytically corroborate the observation that an extreme loss … of the subordinated creditor is likely to also yield a large loss of the senior creditor. …