Coding Project
What I’m looking for is an implementation of the model with a user interface where the user can select certain inputs, run the model, and display an output in the form of a plot or a table.
CODING ASSIGNMENT
• Example
• Portfolio of 200 assets
• 5 year horizon
• Asset default probability of 2.3% (BBB level)
• Generate default distribution using different levels of correlations and a
one factor Gaussian copula default time model
• ASSIGNMENT
• Implement a more generic version of the above example where information on N assets
can be read from an Excel File
• Horizon for the analysis should be a user input
• Asset default probabilities could come from the same Input Excel file
• Generate and plot a default distribution using correlation information from the Input Excel
file (i.e using factor loadings for each asset) and the option to select up to 5 factors (user
input).
>Sheet sset Return Xi
3 5 %
%
%
1 2 3 4 5 Rating 1 A
%
%
%
%
%
B
60 8 2 7 6 3 6
7
4 60 8
10 3 %
0 6 2 AA %
%
%
%
%
0.10 06048
181 56
749 4
1 4806
472377
6 0253
05 1 2
0 3 A %
%
0.3 B
0.05 0.02 0.05 606048
18256
34
4 752
69 7
%
%
0 4 %
%
0.16 0.02 0.13 -0.3531754806 0.8788472377 87 8 282
0 5 BB %
%
0.00 0.13 0.03 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 849
6.52% 0 6 B %
%
%
%
0.31 0.24 0.05 0.09 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 723869
530213
48% 6.52% 0 7 .08%
0.03 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 776
49289
6.52% 0 0.31 0.02 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 6.52% 0 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 89722571
633 781
0 24523
17% 16.93% 1 05 313
19 3
41% 6.52% 0 0.17 0.16 0.09 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 94
7 1
52% 6.52% 0 0.10 0.10 0.03 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 80986134
151
35% 16.93% 0 0.05 0.14 0.09 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 883689
47% 6.52% 0 0.05 0.13 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 4 167842
6.52% 0 0.21 0.06 0.01 0.12 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 8482
6825668
6.52% 0 57 423
41% 16.93% 0 0.35 0.16 0.09 0.12 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 6.52% 0 0.35 0.09 0.13 0.04 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 3278 16.93% 0 0.01 0.03 0.09 0.06 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 1.58% 0 93% 6.52% 0 0.07 0.15 0.07 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 6.52% 0 0.18 0.02 0.13 0.00 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 78% 16.93% 0 1.58% 0 96523072
26590807
6.52% 0 0.00 0.13 0.10 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 7442252
7850578
87% 0 9
92% 6.52% 0 0.31 0.04 0.04 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 80% 6.52% 0 23% 16.93% 0 0.03 0.01 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 16.93% 0 9913493
87% 16.93% 0 64% 1.58% 0 31% 6.52% 0 0.25 0.13 0.07 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 46 78
52% 6.52% 0 0.09 0.12 0.01 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 8418
5% 1.58% 0 0.14 0.18 0.01 0.08 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 8933
6.52% 0 68% 1.58% 0 52% 6.52% 0 0.15 0.19 0.01 0.03 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 27590903
1.58% 0 82% 6.52% 0 0.21 0.20 0.02 0.07 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 812238
6.52% 0 2601 6.52% 0 0.09 0.29 0.12 0.14 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 16.93% 0 23% 16.93% 0 0.01 0.14 0.09 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 47% 6.52% 0 7741741
1.58% 0 64142
50% 16.93% 0 16.93% 0 0.26 0.28 0.11 0.11 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 78% 16.93% 0 6.52% 0 0.38 0.03 0.03 0.05 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 19% 6.52% 0 6.52% 0 0.16 0.05 0.11 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 316409
68755676
0 0.47 0.16 0.07 0.08 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 7191
6.52% 0 84 28
0.31% 0 18% 1.58% 0 18% 1.58% 0 16.93% 0 2% 6.52% 1 45843
79% 6.52% 0 1.58% 0 6.52% 0 6.52% 0 53% 16.93% 0 25868831
1.58% 0 90% 6.52% 0 0.43 0.08 0.14 0.06 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 6.52% 0 6.52% 0 1.58% 0 159
6.52% 0 6.52% 0 87% 1.58% 0 0.31 0.22 0.17 0.14 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 6.52% 0 1% 1.58% 1 65903802
16.93% 0 6.52% 0 6.52% 0 48184811
060833
44% 0.47% 0 7
46134784
16.93% 0 73% 6.52% 0 62% 6.52% 0 7282
68% 1.58% 0 1.58% 0 1919
6.52% 0 6
6.52% 0 8% 1.58% 0 0.19 0.03 0.12 0.07 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 60% 6.52% 0 67870073
16.93% 0 71% 16.93% 0 897
6.52% 0 67% 1.58% 0 16.93% 0 10% 6.52% 0 16.93% 0 9% 6.52% 0 5210867
46% 0.47% 0 16.93% 0 7% 16.93% 1 58% 6.52% 0 48% 1.58% 0 13% 1.58% 0 31% 16.93% 0 62% 6.52% 0 2% 1.58% 0 289617
1.58% 0 84% 16.93% 0 82605
64% 6.52% 0 3606
87% 16.93% 0 5% 6.52% 1 81% 16.93% 0 88% 16.93% 0 82% 16.93% 0 94% 1.58% 0 6.52% 0 82% 0.31% 0 42% 6.52% 0 15% 6.52% 0 6.52% 0 BBB 0.63 0.13 0.12 0.07 0.06 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 81% 1.58% 0 16.93% 0 68% 16.93% 0 82% 16.93% 0 27% 1.58% 0 6% 6.52% 1 57% 16.93% 0 72% 16.93% 0 6.52% 0 1.58% 0 18% 6.52% 0 1.58% 0 BBB 0.59 0.06 0.15 0.03 0.08 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 76% 1.58% 0 955
73% 6.52% 0 96% 6.52% 0 90% 1.58% 0 BB 0.09 0.09 0.13 0.16 0.08 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 7% 6.52% 0 B 0.61 0.07 0.16 0.15 0.05 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377 27% 16.93% 0 6.52% 0 51% 1.58% 0 6.52% 0 64% 6.52% 0 26% 6.52% 0 1.58% 0 22% 1.58% 0 43% 6.52% 0 12% 1.58% 0 23% 6.52% 0 1.58% 0 90% 6.52% 0 77% 6.52% 0 1.58% 0 Rating 1 2 3 4 5 0 0.0003 0.0035
2
1
Factor Loadings
Systematic Factor Draws
Idiosyncratic Factor Draw
# of Factors
A
Ui (Xi transformed to Uniform space)
Horizon (years)
PD
Default?
Total Defaults
PD1
PD2
PD
3
PD
4
PD
5
Relative Importance
6
0
25
10
3%
2%
Rating
Asset #
F1
F2
F3
F4
F5
S1
S2
S3
S4
S5
Z
AA
0.00
0.03
0.
13
0.
24
0.
35
1
B
0.
23
0.2
8
0.10
0.
16
0.0
9
0.0
39
7
60
48
0.48
11
18
56
–
0.09
47
49
34
–
0.35
17
54
80
0.8
78
84
72
37
0.
77
79
38
0.8
57
69
94
80%
6.
52
0.02
0.06
0.
12
0.
21
0.
31
2 AA
0.
66
0.
36
0.
29
0.
14
0.039
76
0.4
81
82
-0.09
74
63
-0.3
53
75
0.
87
88
1.1
65
59
0.
86
46
30
8
1%
0.
31%
0.05
0.14
0.
23%
5%
0.
4
7%
3
BB
0.30
0.13
0.03
97
0.48
118
-0.097474
96
-0.3531754806
0.8788472377
-1.
28
64
68
-1.0
44
67
26
15
1.
58
BBB
0.16
0.
45
0.
7
8%
1.
17%
1.
58%
4 BBB 0.02
0.24
0.0397606048
0.4811818256
-0.0974749634
0.97
41
19
22
1.12
62
70
87%
1.58%
0.
61
1.
92
3.
48%
5.05%
6.52%
5 BB 0.10
0.31
-1.52
42
124
-1.3000662812
10%
3.
33
7.
71
11.
55
14.58%
16.
93
6 BB
0.
51
-0.3
134
-0.03
89
CCC/C
27
36.
64%
41.
41%
44.10%
46.
1
9%
7 BB
0.53
0.07
0.21
0.17
-1.16866
20
-0.931
73
18%
8 BB
0.42
0.04
0.01
-1.6192239496
-1.2006347965
11%
9 B 0.48 0.16 0.13 0.03
0.12
0.38
0.
50
90
69%
16.93%
10 B 0.24 0.07 0.07 0.17 0.02 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.011
91
-0.9664500713
11 BB 0.01 0.09 0.01 0.10 0.06 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
–
0.28
101
–
0.22
40
150
12 BB
0.64
0.18
-0.09330
133
0.0511
98
83
13 B
0.63
0.11
–
0.57
-0.3806
147
14 BB
0.51
0.26
-0.14
99
-0.0762904593
15 BB
0.74
0.41
0.29
2.9700
126
43
1.56
32
94%
16 BB
0.27
-0.380
111
-0.
143
44%
17 B 0.17 0.42 0.01 0.01 0.14 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.6317617214
–
0.23
112
18 BB
0.52
0.8786890684
0.9041815766
82%
19 B
0.15
-1.0687378043
-0.8
142
85
21%
20 BBB
0.20
0.8724193079
0.8739142925
81%
21 BB 0.02 0.10 0.10 0.01 0.07 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.363883946
1.4454728742
22 BB 0.06
0.39
1.6903383865
1.7177463423
9
6%
23 B
0.61
0.9487574358
0.78645731
24 BBB 0.64 0.35 0.06 0.12 0.07 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.4256942375
1.1539425406
88%
25 BB 0.21 0.03 0.11 0.09 0.00 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.36
0.34
63%
26 AA
0.45
0.37
1.
104
1.
122
0.31%
27 BB 0.30 0.30 0.21 0.06 0.13 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.3700
95
138
1.4194
106
149
28 BB 0.38
0.25
0.8435654702
0.8276001966
29 B 0.57 0.03 0.13 0.13 0.04 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.9431065644
-0.7437812401
30 B 0.35
0.49
0.19
-1.2894534237
-0.767225245
22%
31 B 0.63 0.14 0.19 0.03 0.05 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.3966555
125
1.
140
32 BBB 0.38 0.28 0.09 0.09 0.10 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.1798343644
0.3492618799
33 BB 0.38 0.27 0.30 0.09 0.14 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.86904322
-0.4966822509
34 BB
0.08
0.47
-0.2
102
109
0.04583
146
35 BBB 0.23
0.40
-2.0187812525
-1.608
139
36 BB
0.46
0.396
145
0.4714079885
68%
37 BBB 0.22 0.15 0.04 0.10 0.14 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.317803847
0.4660364593
38 BB 0.52 0.31 0.03 0.07 0.05 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.1846274954
0.0436671564
39 BBB
0.44
0.5746946974
0.59
72%
40 BB 0.52 0.05 0.19 0.11 0.04 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.0779922277
0.914028412
41 BB
0.73
-0.2470339732
0.0
114
50%
42 BB 0.51 0.24 0.26 0.14 0.02 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.
117
144
0.9408420521
83%
43 B
0.55
1.4992779825
1.2507269716
89%
44 B 0.24 0.07 0.05 0.12 0.05 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.8249035519
-0.7501741969
45 BB 0.47
0.43
-0.4386369568
-0.0711439204
46 BBB 0.49 0.43 0.23 0.09 0.12 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.
121
-0.5144795493
30%
47 B 0.19 0.14 0.25 0.12 0.08 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.0852495348
-0.00
113
48 B 0.16 0.10 0.18 0.07 0.13 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.3401027802
-0.2003935482
42%
49 B
0.62
0.8794346376
0.7650016856
50 BB 0.20 0.00 0.05 0.14 0.12 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.7322781121
-0.6443889416
26%
51 BB
0.72
-1.9097224049
-0.8633408003
52 BB 0.16 0.34 0.29 0.01 0.03 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.2242575334
-0.0343637721
49%
53 A
0.68
0.33
-0.9
115
–
0.32
37%
0.47%
54 BB
0.77
-1.091
103
-0.1337316173
45%
55 AA 0.72 0.09 0.20 0.07 0.03 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.
137
108
0.8021171818
79%
56 BBB 0.15 0.04 0.06 0.01 0.08 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.0327246851
-0.9306007
132
57 BBB 0.18 0.21 0.15 0.15 0.07 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.0925437284
-0.9159695113
58 B 0.06 0.19 0.09 0.02 0.11 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.6521911432
1.7751422832
96%
59 BB 0.30 0.01 0.30 0.13 0.05 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-2.2247076048
-2.0038503777
60 BB 0.59 0.40 0.18 0.11 0.06 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.89
105
0.8015820121
61 BBB 0.59 0.43 0.01 0.04 0.09 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.492480907
1.3095676375
90%
62 BB 0.46 0.01 0.01 0.03 0.13 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.062138293
0.0682239916
53%
63 BB 0.01 0.02 0.06 0.07 0.04 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.282447016
0.2946365137
62%
64 B 0.37 0.35 0.00 0.13 0.02 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.0754661408
0.0865171957
65 BBB 0.12 0.45 0.25 0.05 0.11 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.54
0.732781387
77%
66 BB 0.11 0.29 0.20 0.02 0.10 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.1543016899
1.2741874363
67 BB
0.56
0.3208751085
0.4467368985
67%
68 BB 0.63 0.14 0.04 0.11 0.04 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
2.4333009218
1.9194519179
97%
69 BBB 0.03 0.08 0.08 0.12 0.12 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.3033755867
0.3863624598
65%
70 BB 0.02 0.19 0.13 0.14 0.07 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.2996
100
-1.1589138507
12%
71 BB 0.63 0.28 0.22 0.17 0.11 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.9531143743
-0.4527521857
33%
72 BBB 0.06 0.41 0.11 0.08 0.01 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.0649923559
1.1263133647
73 BB
0.67
-0.5343449323
-0.1055995747
46%
74 BBB 0.15 0.08 0.09 0.14 0.08 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-2.3223899556
-2.1905170845
75 B 0.72 0.09 0.06 0.02 0.08 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.8475177414
0.70
76%
76 BB 0.51 0.28 0.07 0.02 0.14 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.6798664067
-0.2796236565
39%
77 BB 0.36 0.01 0.09 0.02 0.06 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.1778080539
-1.0333073021
15%
78 A 0.48 0.46 0.21 0.15 0.11 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
–
0.58
-0.
141
79 B 0.72 0.20 0.00 0.10 0.12 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.636010
120
0.60
73%
80 BB 0.18 0.33 0.12 0.14 0.10 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.4704317196
0.6223969943
81 BB 0.62 0.04 0.12 0.04 0.14 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.2180715125
0.3061225067
82 BBB 0.74 0.13 0.26 0.01 0.13 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.4740154355
0.454
128
83 BBB 0.54 0.01 0.19 0.09 0.14 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.2067622825
0.2608023761
60%
84 BB 0.20 0.25 0.21 0.07 0.12 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
–
0.0003
0.1831664657
57%
85 BB 0.02 0.10 0.00 0.11 0.13 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.4273818933
0.540854
130
71%
86 BBB 0.48 0.26 0.16 0.07 0.13 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-2.0256583528
-1.4231703318
87 BB
0.69
0.1874190019
0.2611379554
88 B 0.60 0.36 0.18 0.02 0.08 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
–
0.71
-0.2440257601
40%
89 B 0.44 0.13 0.07 0.17 0.06 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.5715948274
0.5676817164
90 BB 0.01 0.07 0.09 0.01 0.03 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.1947
116
-1.1404960466
13%
91 BBB 0.69 0.29 0.21 0.01 0.04 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.4275332901
0.4503359208
92 B 0.17 0.34 0.29 0.06 0.08 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.0035861332
1.073555112
86%
93 BB 0.40 0.40 0.11 0.02 0.07 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.8889050219
-1.2873543351
94 B 0.01 0.07 0.07 0.09 0.02 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.6009568379
1.601568488
95%
95 BB 0.12 0.29 0.17 0.09 0.13 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.6773697062
-1.3376576938
96 A 0.10 0.47 0.23 0.01 0.04 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.409909931
-0.
107
97 B 0.12 0.31 0.06 0.17 0.09 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.1382656732
0.0363326674
51%
98 B 0.17 0.14 0.21 0.04 0.01 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.5853657141
-1.4683449025
99 BB 0.40 0.38 0.12 0.14 0.07 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.000878833
0.1978215694
100 BBB 0.52 0.21 0.31 0.01 0.13 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.3434610941
-0.0568755919
101 BBB 0.57 0.10 0.13 0.14 0.01 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.4780594297
-1.1430427954
102 B 0.57 0.13 0.10 0.09 0.09 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.769276654
-0.4866695313
103 BB 0.38 0.05 0.01 0.11 0.01 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.3260583404
0.3082523532
104 BBB 0.15 0.47 0.12 0.13 0.08 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-2.6300739204
-1.9793874589
105 BBB 0.14 0.12 0.29 0.06 0.10 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.9741874249
1.0
110
84%
106 B 0.30 0.08 0.30 0.01 0.09 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.005754062
0.9939019508
107 BB 0.70 0.49 0.12 0.05 0.00 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.2527294329
0.36
127
108 B 0.77 0.33 0.24 0.04 0.10 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.8450286788
1.
123
129
109 BB 0.16 0.42 0.05 0.01 0.04 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-2.0927704087
-1.6221746992
110 B 0.32 0.47 0.12 0.00 0.10 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.688329009
0.8730223151
111 B 0.43 0.01 0.16 0.05 0.13 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.2287165093
1.1752253932
112 B 0.02 0.33 0.03 0.13 0.01 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.8586354885
0.9240727382
113 BBB 0.44 0.46 0.12 0.02 0.03 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.6665458388
1.5153749772
114 BB 0.08 0.47 0.01 0.03 0.12 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.0763376283
-0.6199787122
27%
115 AA 0.30 0.40 0.19 0.02 0.01 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.8749688844
0.9294856594
116 BB 0.74 0.18 0.16 0.07 0.06 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.52030377
-0.1942818757
117 BB 0.22 0.18 0.02 0.13 0.12 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.2742759375
-1.050883074
118 BB 0.55 0.04 0.16 0.03 0.13 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.467602033
1.3213792073
91%
119
1.0187523481
0.8671825769
120 B 0.05 0.21 0.28 0.05 0.04 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.8641918283
-0.7152415041
24%
121 B 0.56 0.22 0.13 0.11 0.11 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.378105047
0.4648037474
122 B 0.28 0.37 0.13 0.17 0.02 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.9099445115
0.9123254243
123 BBB 0.18 0.10 0.21 0.15 0.11 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.7435590978
-0.6159685227
124 BB 0.40 0.05 0.02 0.12 0.10 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.8342330439
-1.5676250274
125 B 0.47 0.42 0.21 0.02 0.13 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.1652144402
0.1808416624
126 B 0.07 0.49 0.23 0.12 0.02 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.4909928624
0.5955031208
127 BB 0.26 0.42 0.02 0.05 0.05 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.5209446476
0.6880382658
75%
128 BBB 0.58 0.26 0.19 0.07 0.02 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.0143353977
0.1105603276
54%
129 BB 0.14 0.25 0.06 0.13 0.06 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.1206551143
-0.9338933926
130 BBB 0.49 0.06 0.30 0.17 0.12 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.8090658224
-0.5792060254
28%
131
0.7851763884
0.7172139968
132 BB 0.63 0.48 0.12 0.13 0.00 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.7002780053
0.6060
148
133 BB 0.47 0.13 0.09 0.12 0.08 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.8916560689
1.7219369492
134 BBB 0.58 0.31 0.17 0.02 0.10 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.4711038989
1.3017458933
135
-1.5935206102
-1.4859469135
136
-0.8408660227
-0.5997882503
137 BB 0.61 0.42 0.06 0.17 0.06 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.5984529814
-0.1679293741
43%
138 BBB 0.71 0.42 0.25 0.05 0.10 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.5157775037
0.0216158192
139 BB 0.37 0.26 0.10 0.08 0.13 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.2068039875
-0.832894
20%
140 BB 0.53 0.46 0.03 0.16 0.10 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.1353701187
0.3665170026
141 BB 0.55 0.35 0.04 0.04 0.05 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.1403908104
-0.6471556241
142 BBB 0.19 0.16 0.07 0.04 0.10 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.2867430849
-1.0811091232
14%
143 BBB 0.64 0.34 0.06 0.11 0.04 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.3850612675
-0.7634616383
144 BB 0.41 0.05 0.20 0.11 0.06 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-0.236725237
-0.1730682258
145 BBB 0.33 0.45 0.13 0.14 0.10 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.756279839
-1.1583340211
146 BB 0.09 0.37 0.19 0.03 0.03 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.0143710422
-0.740272839
147 BBB 0.21 0.18 0.28 0.11 0.10 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
2.345202621
2.2454918076
99%
148 BB 0.54 0.44 0.17 0.02 0.12 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
1.4311130801
1.2947153862
149 BB 0.43 0.13 0.05 0.14 0.02 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
0.793530037
0.7396431628
150 BBB 0.23 0.24 0.04 0.10 0.06 0.0397606048 0.4811818256 -0.0974749634 -0.3531754806 0.8788472377
-1.2131533355
-0.9971533768
16%
PD Table
Horizon –>
AAA
0.0013
0.0024
0.0035
AA
0.0002
0.0006
0.0012
0.0021
0.0031
A
0.0005
0.0014
0.0023
0.0047
BBB
0.0016
0.0045
0.0078
0.0117
0.0158
BB
0.0061
0.0192
0.0348
0.0505
0.0652
B
0.0333
0.0771
0.1155
0.1458
0.1693
CCC/C
0.2708
0.3664
0.4141
0.441
0.4619