<t>Dear Andrew,may I ask you a question on your way you implemented the calculation of the mean loss in the kth bucket?Consider the following situation: K = 2, each LGD = 1 with DefProb Alpha1, Alpha2, bucket = [0,2].Performing first iteration step leads to A[1] = 1. Then adding the second instrumen...

<t>Well, to compute the unconditional integral one has to evaluate the conditional probabilities for special values (special realizations of \Omega) given by the gaussian quadr. algorithm. This leads to a call for the recursion formula for each realization. Nevertheless, even one call leads to unacc...

<t>Hi, I implemented the semi-analytical approach in C++ and compared the results with MC which are pretty close. Still my problem is the recursion formula. For the unconditional loss distribution I have to evaluate the support points in the gaussian quadrature which leads to a call of the recursion...