blob: c3a577ea4fcd4ec5d24b1a6379510c2f85b40102 (
plain)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
|
recovery.assumptions:
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: 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: 0.10
beta: 15.0
shape: !expr |
function (T)
0.5 + (1 - 0.5) * (1 - exp(-T))
reinvflag: yes
reinvfloat: 0.035
reinvfixed: 0.07
|
