Collaboration with Lorenzo Savoia of the Politecnico di Milano
Default Probability (%) Correlation (%)
Number Loans Loss Given Default (%)
Tranche Attach (%) Tranche Detach (%)
We apply the Vasicek Credit Default Distribution and an Extended Vasicek Distribution ("XLPA") to the calculation of Tranche Expected Loss in a simplified structured credit transaction with many assumptions. See the article "Extending the Large Pool Approximation" for detailed explanation of the XLPA.
Vasicek XLPA