Portfolio losses

Correlated defaults, loss distributions, regulatory capital and tranches.

Vasicek’s large homogeneous portfolio

Vasicek's large homogeneous portfolio

CreditRisk+ and Panjer’s recursion

CreditRisk+ and Panjer's recursion

Li’s Gaussian copula for default times

Li's Gaussian copula for default times

The Basel II IRB formula

The Basel II IRB formula

Hull and White: pricing CDO tranches without Monte Carlo

Hull and White: pricing CDO tranches without Monte Carlo