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- W3010592019 abstract "We revive, discuss, and improve upon the excellent earlier work of Hull and White in efficiently building iterative loss distributions for debt portfolios of structured finance securitizations. After adjusting this Hull-White technique to conserve both probability and expected loss, we develop a straightforward mathematical formalism that produces this Modified Hull-White method from a different perspective. Specifically, we find that our formalism produces Modified Hull-White with the choice of jump interpolation. We create an alternative interpolation and show with examples that this exponential alternative provides greater accuracy in generating loss distributions. A final contribution is the adaptation of a recent correlated binomial methodology to this Hull-White concept of iterative construction of the debt portfolio analysis. TOPICS:Credit risk management, CLOs, CDOs, and other structured credit, portfolio theory, portfolio construction Key Findings • We revive, discuss, and improve upon the excellent earlier work of Hull and White in efficiently building iterative loss distributions for debt portfolios of structured finance securitizations. • After adjusting this Hull-White technique to conserve both probability and expected loss, we develop a straightforward mathematical formalism that produces this Modified Hull-White method from a different perspective. • A final contribution is the adaptation of a recent correlated binomial methodology to this Hull-White concept of iterative construction of the debt portfolio analysis." @default.
- W3010592019 created "2020-03-13" @default.
- W3010592019 creator A5047006042 @default.
- W3010592019 date "2020-03-06" @default.
- W3010592019 modified "2023-09-24" @default.
- W3010592019 title "Efficient Routines for CDO Loss Calculations" @default.
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- W3010592019 doi "https://doi.org/10.3905/jsf.2020.1.096" @default.
- W3010592019 hasPublicationYear "2020" @default.
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