[New] First Dollar Loss

[yellowbean]

1 . Base on different asset assumption type:

2. Stress with a list of scenario
3. Test if a input bond is passing either
   • P&I timely fashion
   • P&I ultimately fashion
4. find the flip point of scenario

[yellowbean]

TODO

• how to determine the stress for different asset class ?
  • it could be rate stress ( CDR )
  • it could be amount stress ( Default Amount )
  • it could be curve stress ( Rate Curve)

Solution

• Create a new endpoint
• Algo to search in scenario spaces
• Iteration

Return:

• a single flip point
• flip curve with shows a frontier of first loss for two dimensions