| Model type |
Copula approach (t-Student copula),
CreditMetrics™ (Gaussian copula) |
| Risk measures |
Expected Loss (EL), Value at Risk (VaR), Expected Shortfall (ES), Other (user-defined) |
| Resolution method |
Monte Carlo |
| Simulated values |
obligors' default times, EADs, LGDs |
| Supported copulas |
Gaussian, t-Student |
| PDs defined over time |
transition matrix, user-defined |
| EAD defined over time |
yes |
| EAD supported distributions |
fixed, lognormal, exponential, uniform, gamma, normal |
| LGD defined over time |
yes |
| LGD supported distributions |
fixed, beta, uniform |
| Risk disaggregation |
yes |
| Variance reduction methods |
antithetic |
| Multiple time horizons |
no |
| Multiple factors by obligor |
no |
| Multiple assets by obligor |
yes |
| Current net value support |
yes |