CDO Tranche Loss Distribution Calculator

Compute expected and unexpected loss for CDO tranches using one-factor Gaussian copula model. Inputs: attachment/detachment points, default probabilities, correlation, LGD.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How It Works

Compute expected and unexpected loss for CDO tranches using one-factor Gaussian copula model. Inputs: attachment/detachment points, default probabilities, correlation, LGD

Each component has a specific meaning:

  • One-factor Gaussian copula model — The one-factor gaussian copula model recorded for the scenario being assessed.

Note: Interpret the cdo tranche loss result against the thresholds and context described above.

How to Use

Enter the one-factor Gaussian copula model for the scenario you are assessing. Compute expected and unexpected loss for CDO tranches using one-factor Gaussian copula model. Inputs: attachment/detachment points, default probabilities, correlation, LGD. Use the cdo tranche loss result to inform your calculation.

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Frequently Asked Questions