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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 the amortization profiles for the loans. I have been asked to use this information "Run simulations" by using Excel.I have been reading up on the CreditMetrics methodolgy to give me some ideas on the factors that I need to consider. I can see that my situation is much simpler than the case presented in the CreditMetrics docs but am still really confused about where to start. Can anyone give me any ideas or point me in the direction of a document for dummies which could help?Thanks

Hi,What is probability you have ?? the probability that asset i defaults in period t given that it hasn't defaulted in beforeIf this is the case you can sample 30 correlated uniform random variables to obtain a sample default set for your assets. (since F^{-1}_X(U) ~ X)This can then be pugged into a spread sheet to obtain a sample result. this can be used as the body of an MC simulation that will give you the answer.hope this helps