<t>Hey!I sat L1 in London on Sat. I have mixed feelings about it: some bits were quite straightforward and others quite tricky. I really don't know whether or not I have passed or failed. I hate feeling this way because I can almost always work out how I've done.I thought the morning went better tha...

I’m trying to create a simulation for the value of a portfolio of loan assets. Can anyone suggest a good way to scale and shift a N(0,1) so that I can use the new distribution to simulate the asset values?

Yeah, I have been known to bear a striking resemblance on a good day.......................

Thanks for your response. I am doing this for credit risk reasons (just trying to simulate the loss distribution on the portfolio) and I need to take the simplest approach as I have little experience of this kind of thing and not a lot of time.

<t>I need to simulate losses on a portfolio of N loans. Each of the loans amortises to zero over 10 years.I have one probability of default per year, a loss given default and an exposure at default for each loan. I also have an N x N asset correlation matrix.I'd like to check the method that I'm goi...

Has anyone got any experience of using this distribution in a MC simulation? I'm looking at using the distribution in a simulation but will have to write code for the simulation in VBA as I have no other program available to me. Any advice/vba code snippets would be much appreciated.

<t>I'm looking at a portfolio of loans from the same industry and have been provided with a single default probability and a loss given default for each loan in the portfolio. I'm trying to simulate expected income from the portfolio over a 10 year period but I'm not sure what loss distribution to a...

<t>Hi there,The firm that I work for has a portfolio of 30 loan assets on their book (all from the same industry) and they'd like to simulate the impact of defaults within this portfolio over a 10 year period. For each asset, I have a single probability of default and a loss given default as well as...