Actually Moody's still use it! They need a diversity score to calculate the expected loss of the portfolio with the binomial model.To calculate the DS, you need to know the Moody's industry of each name in your portfolio and then apply their methodology (try to find a paper on their website).

<t>Hi DanonI tried to play with your excel model and it seems that the spreads for the low tranches (Equity, Junior, Mezz1 and 2) get higher when the correlation increases, which should not be the case. Any idea why?You must have worked hard on this thesis so I hope your results will be goodThanks <...