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Moodys Fourier Transform Methodology
Has any one been able to replicate the numbers in the paper released by Moodys on their Fourier Transform methodology for computing loss distributions for CMBS/CDOs etc. It is essentially one of the new methods they recommend using in addition to BET, and avoids lengthy monte-carlo simulations for pools with a large number of assets.
Moodys Fourier Transform Methodology
Quotelengthy monte-carlo simulations for pools with a large number of assets.Larges number of *difefrent* assets. It is just a way to get a couple of distributions and then add them together to get one. It is like having p1 and p2 and you want p. So F[p1] + F[p2] = F[p1 * p2] = F[p], then inverse transform and you have p.