RT Journal Article SR Electronic T1 Efficient Routines for CDO Loss Calculations JF The Journal of Structured Finance FD Institutional Investor Journals SP jsf.2020.1.096 DO 10.3905/jsf.2020.1.096 A1 Joseph M. Pimbley YR 2020 UL https://pm-research.com/content/early/2020/03/06/jsf.2020.1.096.abstract AB 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.