Correlation R Number of Assets Hazard Rate Notional of each name Risk-free Interest Rate Years to maturity Recovery rate Degrees of Freedom Distribution Normal Student's t (Zi only) Student's t (Zi and M) Tranche Attach % Detach % 1 Edit 0.0 25.0 2 Edit 25.0 50.0 3 Edit 50.0 75.0 4 Edit 75.0 100.0

Red curve represents a normal distribution. Blue curve represents a Student's t distribution. Green bars show a histogram of the random values selected from the distribution.

Results

Tranche (0.0%-25.0%)

Tranche (25.0%-50.0%)

Tranche (50.0%-75.0%)

Tranche (75.0%-100.0%)

Tranche (0.0%-25.0%)

Tranche (25.0%-50.0%)

Tranche (50.0%-75.0%)

Tranche (75.0%-100.0%)

Loss Distribution by Year	Loss Distribution by Tranche
Year Amount	Year Tranche (0.0%-25.0%) Tranche (25.0%-50.0%) Tranche (50.0%-75.0%) Tranche (75.0%-100.0%)

Market Factor:

Asset

Hazard Rate

Zi

Correlated Xi

Normsdist(Xi)=P

1-Pi

Years to Default