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Download Default VECTOR 3.1 Model User Manual
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www.derivativefitch.com • Table of Contents Changes from Vector 3.0 to 3.1 ............................................................................................ 3 A. Addition of Single Tier Comparison functionality ......................................................... 3 Changes from Vector 2.2 to Vector 3.0 ................................................................................. 3 A. Ease of Use ................................................................................................................ 3 B. Recalibrated Assumptions .......................................................................................... 3 C. Updated Emerging Markets Framework...................................................................... 3 Overview............................................................................................................................... 4 VECTOR 3.1 Definitions ....................................................................................................... 6 A. Reference Obligation Terms ....................................................................................... 6 B. VECTOR Output Terms .............................................................................................. 9 C. VECTOR 3.1 Model Short Cuts .................................................................................. 9 Deal Setup .......................................................................................................................... 10 A. Initial Setup ............................................................................................................. 10 B. Portfolio Setup .......................................................................................................... 11 C. Sample Portfolios ..................................................................................................... 11 D. CDO Squared Setup................................................................................................. 11 E. Single tier CDO Comparator set up........................................................................... 13 E. Asset Amortisation Schedule .................................................................................... 14 F. Asset Specific Recovery Rates ................................................................................. 15 G. Portfolio Properties ................................................................................................... 16 H. Simulation Run ......................................................................................................... 18 Analytical Results & Summary Reports............................................................................... 19 A. Simulation Summary ............................................................................................... 19 B. CDO Comparison..................................................................................................... 21 C. Portfolio Default Distribution .................................................................................... 22 D. Portfolio Loss Distribution ........................................................................................ 23 E. Inner CDO Properties ............................................................................................... 24 F. Inner CDO Overlap Matrix......................................................................................... 24 G. Asset Correlation Matrix ........................................................................................... 24 VECTOR Assumptions........................................................................................................ 24 A. Probability of Default................................................................................................. 24 B. Recovery Rates ........................................................................................................ 24 C. Correlation Adjustments ........................................................................................... 24 D. Correlation Factors ................................................................................................... 24 Reference Entity Feed Set-up and Use............................................................................... 24 A. Download Instructions............................................................................................... 24 B. User Instructions....................................................................................................... 24 Appendix I: Simulation Methodology ................................................................................... 24 Appendix II: Pair-Wise Correlation ...................................................................................... 24 Appendix III: Installation ...................................................................................................... 24 A. System Requirements ............................................................................................. 24 B. Installation Checklist................................................................................................ 24 C. Downloading the VECTOR 3.1 Model....................................................................... 24 D. Installing the VECTOR 3.1 Model ............................................................................. 24 E. Reinstalling the VECTOR 3.1 Model ......................................................................... 24 F. Opening the VECTOR 3.1 Model .............................................................................. 24 G. Uninstalling the VECTOR 3.1 Model......................................................................... 24 Appendix IV: Fitch Industry Mapping................................................................................... 24
