Structured Credit Analytics

CDO Expected Loss Simulator

Monte Carlo Simulation & Gaussian Copula Analysis

Estimate tranche-level expected losses and default probabilities using a one-factor Gaussian Copula framework. Simulate thousands of correlated credit scenarios to construct portfolio loss distributions, evaluate tranche performance and quantify structured credit risk under realistic default dependencies.

🎲

Monte Carlo Engine

Simulate thousands of correlated default scenarios to generate robust portfolio loss distributions.

📊

Tranche Analytics

Measure expected losses, attachment and detachment behaviour, and default probabilities across all tranches.

🔗

Dependency Modelling

Model correlated defaults using a one-factor Gaussian Copula to capture systematic credit risk across the portfolio.