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Fast Computation of the Expected Tranche Loss of CDO Credit Portfolio 1.0

  Date Added: July 23, 2013  |  Visits: 215

Fast Computation of the Expected Tranche Loss of CDO Credit Portfolio

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The code is explained in the article P. Okunev, "A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model", LBNL-57676, 2005.http://www-library.lbl.gov/docs/LBNL/576/7.../LBNL-57676.pdfFuther refinments of this algorithm are descibed in Okunev, Pavel, "Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model" .http://ssrn.com/abstract=748625This is a MATLAB code. It's relatively easy to adapt it for VBA.ATTENTION: This code was tested and works well for portfolios of size 125. The accuracy will decrease for smaller portfolios. Higher accuracy can be achieved using the methos described in Okunev, Pavel, "Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model" .http://ssrn.com/abstract=748625This implements one factor Gaussian model.[loss]=gsloss(L,w,p,a,d,N)L = exposures,as fraction of totalportfolio, taking into account the recovery rateExample: loan 1 is 0.01 fraction of the total portfolio, recovery rate is 40% then L(1)=0.01*(1-0.4)w = loading factors p = default probabilities a = attachement point d = detachment point N = number of names in the portfolio loss = expected tranche loss as percentage of the portfolio nominal expressed in basis points

Requirements: No special requirements
Platforms: Matlab
Keyword: Account Achieved Exposuresas Factor Fraction Higher Implements L13d001104w Methos Modelloss Dgslosslwpadnl Percentage Portfolio Rateexample Recovery Taking Total Totalportfolio Tranche
Users rating: 0/10

License: Freeware Size: 10 KB
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