Tame Case Study Extended Results

Back to main results.

(Z-15-1) Table (new): Premium stand-alone by unit, sum, and total, and natural allocation by distortion.
  Unit A B SoP Total
Approach Distortion        
Stand-Alone CCoC 51.89 52.98 104.9 103.4
PH 51.9 52.89 104.8 103.4
Wang 51.9 52.86 104.8 103.4
Dual 51.9 52.83 104.7 103.4
TVaR 51.9 52.81 104.7 103.4
Blend 51.9 52.96 104.9 103.4
Allocated CCoC 50.23 53.2 103.4
PH 51 52.42 103.4
Wang 51.04 52.39 103.4
Dual 51.07 52.35 103.4
TVaR 51.1 52.33 103.4
Blend 50.88 52.55 103.4
(Z-15-2) Table (new): Progression of premium benefit by distortion. Differences between allocated and stand-alone, the implied premium reduction, and the split by unit.
View Pooling ยค Benefit Pct Premium Reduction Pct of Benefit
Unit A B Total A B Total A B Total
Distortion                  
CCoC 1.663 -0.216 1.446 3.2% -0.4% 1.4% 115% -15% 100%
PH 0.896 0.468 1.364 1.7% 0.9% 1.3% 66% 34% 100%
Wang 0.860 0.475 1.336 1.7% 0.9% 1.3% 64% 36% 100%
Dual 0.831 0.480 1.311 1.6% 0.9% 1.3% 63% 37% 100%
TVaR 0.804 0.483 1.288 1.5% 0.9% 1.2% 62% 38% 100%
Blend 1.015 0.406 1.421 2.0% 0.8% 1.4% 71% 29% 100%
Figure Figure(1200x400)
(Z-BL-1) Figure (new): Calibrated blend distortion, compard to CCoC and naive blend. The x marks show bond default and pricing data used in calibration. Middle plot zooms into 0 < s < 0.1. Righthand plot uses a log/log scale. PH distortion added for comparison.
Figure Figure(1200x400)
(Z-TR-1) Figure (new): capital tranching with a 25.0% debt to total capital limit.
Figure Figure(1200x400)
(Z-TR-2) Figure (new): capital tranching with a 25.0% debt to total capital limit.