Portfolio Builder

Configure portfolio parameters and simulate loss distributions

Portfolio Configuration

Portfolio Size

Number of Loans

500

Average Balance ($K)

$200K

Asset Class Mix

Corporate Loans (%)

40%

Consumer Loans (%)

25%

Real Estate (%)

20%

Receivables (%)

15%

Risk Parameters

Asset Correlation

0.15

LGD (%)

40%

Portfolio Size

$100M

500 loans

Expected Loss

$1.2M

1.2% of portfolio

VaR (99%)

$3.6M

3.6% of portfolio

CVaR (99%)

$4.8M

4.8% of portfolio

Loss Distribution

Tranche Waterfall

Tranche Analysis

Tranche	Size	Attachment	Detachment	Exp. Loss	Loss Rate