Alternative Loss Buckets !


Number of Bonds  

Number of Buckets  

Load CSV Bond File  

(Or Use Maxwell Default Bond File if No File Loaded)

We consider here three distinct methods for generating bucketed loss distributions of independent bond defaults within a portfolio of arbitrary size. This paper defines the three methods and explains the historical importance and context. (The link takes you to a temporary page until our article is published.) The user may enter a CSV file listing a PD (probability of default) and LGD (loss-given-default) for an arbitrary number of bonds. Or, the algorithm will use a default file of bond PD and LGD values if the user does not specify a file. The output table to the right shows loss buckets in the first column and probabilities of loss within each defined bucket in the other three columns.

Loss Bucket Original Hull-White Modified Hull-White CDF