Name of QuantLet: SFEETLGaussTr1

Published in: Statistics of Financial Markets

Description: Calculates expected loss of the equity tranche calculated using the one factor Gaussian model with one-year default probability computed from the iTraxx index Series 8 with 5 years maturity on 20071022.

Keywords: CDO, Credit Risk, Equity tranche, Expected loss,normal, numerical integration, gaussian, asset, financial, plot, graphical representation

See also: BaseCorrGaussModelCDO, CompCorrGaussModelCDO, SFEPortfolioLossDensity, SFEcompCorr, SFEgaussCop, lowerTrLossGauss, SFEbaseCorr, ETL

Author: Awdesch Melzer

Author[Matlab]: Barbara Choros

Submitted: Wed, April 23 2014 by Awdesch Melzer

Submitted[Matlab]: Fri, November 22 2013 by Awdesch Melzer

Example: Plot of expected loss of the equity tranche.