diff options
| -rw-r--r-- | etc/params.yml | 28 |
1 files changed, 14 insertions, 14 deletions
diff --git a/etc/params.yml b/etc/params.yml index e10c3757..c3a577ea 100644 --- a/etc/params.yml +++ b/etc/params.yml @@ -1,27 +1,27 @@ recovery.assumptions: - Loan: 0.7 - Senior Secured Loan: 0.7 - Senior Notes: 0.7 - SecondLien: 0.3 - Second Lien Loan: 0.3 - Bond: 0.4 + Loan: 0.6 + Senior Secured Loan: 0.6 + Senior Notes: 0.6 + SecondLien: 0.2 + Second Lien Loan: 0.2 + Bond: 0.3 Mezzanine: 0.15 Adj_Covlite: 0.1 Credit Default Swap: 0.0e+00 cdoprices: - Aaa: 97.55 - Aa: 95.0 - A: 92.5 - Baa: 90.0 - Ba: 85.0 - B: 80.0 - NR: 70.0 + Aaa: 96 + Aa: 90.0 + A: 85 + Baa: 75.0 + Ba: 60.0 + B: 40.0 + NR: 30.0 rollingmaturity: 2555.0 defaultedlag: 90.0 defaultcorr: 0.45 defaultbondhazardrate: 0.25 defaultloanhazardrate: 0.25 -alpha: 0.15 +alpha: 0.10 beta: 15.0 shape: !expr | function (T) |