(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%
(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.
(Z-TR-1) Figure (new): capital tranching with a 25.0% debt to total capital limit.
(Z-TR-2) Figure (new): capital tranching with a 25.0% debt to total capital limit.
