Calculation of Portfolio Loss Distribution Given Default

نویسندگان

  • Yu Zou
  • Sang-Yeun Shim
چکیده

Default loss distribution of corporate portfolios plays a crucial role in CDO tranche pricing, tracking error calculation and profit/loss assessment of corporation systems. This work gives an efficient algorithm to calculate the default loss distribution based on Hull-White probability bucketing approach and importance sampling method. The Gaussian copula model is assumed to calculate the conditional default probability for each corporation in a portfolio by the conditional independence framework. The algorithm can significantly reduce the computational time.

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تاریخ انتشار 2010