TY - JOUR T1 - Efficient Routines for CDO Loss Calculations JF - The Journal of Structured Finance DO - 10.3905/jsf.2020.1.096 SP - jsf.2020.1.096 AU - Joseph M. Pimbley Y1 - 2020/03/06 UR - https://pm-research.com/content/early/2020/03/06/jsf.2020.1.096.abstract N2 - We revive, discuss, and improve upon the excellent earlier work of Hull and White in efficiently building iterative loss distributions for debt portfolios of structured finance securitizations. After adjusting this Hull-White technique to conserve both probability and expected loss, we develop a straightforward mathematical formalism that produces this Modified Hull-White method from a different perspective. Specifically, we find that our formalism produces Modified Hull-White with the choice of jump interpolation. We create an alternative interpolation and show with examples that this exponential alternative provides greater accuracy in generating loss distributions. A final contribution is the adaptation of a recent correlated binomial methodology to this Hull-White concept of iterative construction of the debt portfolio analysis.TOPICS: Credit risk management, CLOs, CDOs, and other structured credit, portfolio theory, portfolio constructionKey Findings• We revive, discuss, and improve upon the excellent earlier work of Hull and White in efficiently building iterative loss distributions for debt portfolios of structured finance securitizations.• After adjusting this Hull-White technique to conserve both probability and expected loss, we develop a straightforward mathematical formalism that produces this Modified Hull-White method from a different perspective.• A final contribution is the adaptation of a recent correlated binomial methodology to this Hull-White concept of iterative construction of the debt portfolio analysis. ER -