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

  • Pavel Okunev
  • Published 2005
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… (More)