Hi all,We are trying to slice a portfolio of 100 loans into tranches in those CDO-like structures. Lets say we specify the equity tranche to be 0% to 5%.How do we price our equity tranche?I have read a bunch of papers with CDO models but they all start with models (with unknown parameters) first and then use "calibration" to fit the model to market data and find the values for the unknown parameters that way.My question is: if our product has never been traded on the market and our goal is to figure out how much we shall sell the CDO-like insurance for our equity tranche (and other higher tranches), so we don't have market data to calibrate our model to, how should we price our product?Thank you!

what are the coupons that you are promising to pay the more senior members ? As soon as you have figured that out then the "price" of the equity tranche will be known. However, remember that the "price" of each tranche is the notional value. What really matters is the RoR for that tranche and whether you can entice someone to pay you par for a set of coupons and the promise of getting par back in some seniority level

In what way is your product different from a standard CLO? While not the most transparent market in the world, if you are in the business you should be able to obtain pricing information for recently issued CLOs.