A ] 2 8 Ju n 20 05 A Fast Algorithm for Computing Expected
نویسنده
چکیده
We propose a fast algorithm for computing the expected tranche loss in the Gaussian factor model with arbitrary accuracy using Her-mite expansions. No assumptions about homogeneity of the portfolio are made. It is intended as an alternative to the much slower Fourier transform based methods [2]. Let us consider a portfolio of N loans. Let the notional of loan i be equal to the fraction f i of the notional of the whole portfolio. This means that if loan i defaults and the entire notional of the loan is lost the portfolio loses fraction f i or 100f i % of its value. In practice when a loan i defaults a fraction r i of
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