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player · November 30th, 2005, 4:01 pm

I'm trying to simulate a return distribution of the tranches from the itraxx index...2 questions1) I was told there is a free tool on S&P/moodys that does this or something similar from which i can get a return distribution. Does anyone know where it is?2) If it doesnt exists does anyone know of a good way of obtaining this....?thanks

crazyhorse · December 8th, 2005, 5:18 pm

Hi player, S&P tool is called S&P Evaluator and I think you can download it from their page. The problem is that rating tools from S&P/MOOdys will not give you the loss distribution of our tranche but of your portfolio but in most case just in a very crude way (graphical form). Furthermore if you will use is for pricing forget it because it works with default probs derived from rating date which are useless for pricing. ch