Structured Credit
Credit Tranche Impact Pricer
Loss Allocation & Tranche Waterfall Analysis
Simulate credit defaults and recovery scenarios to evaluate how losses propagate through structured finance transactions. Analyse changes in attachment and detachment points across equity, mezzanine and senior tranches to better understand portfolio resilience and investor risk.
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Default Simulation
Model issuer defaults and recovery assumptions to assess portfolio loss scenarios.
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Tranche Waterfall
Visualise how losses flow through equity, mezzanine and senior tranches under different stress scenarios.
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Capital Protection
Evaluate attachment and detachment levels to understand the protection available to each tranche.