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Analytical Results & Summary Reports
A. Simulation Summary
The “SimulationSummary” page displays the summary properties of the portfolio in a table
called the “Portfolio Properties”. The main output of the model which are the rating default
rate (RDR), the rating recovery rate (RRR) and the rating loss rate (RLR) are listed in a
separate table (reproduced below). The table shows the RDR, RLR and RRR for each rating
scenario.
Table 5 : Output table showing the RDR, RRR and RLR levels
Rating
Rating Default
Rate
(RDR)
Rating Recovery
Rate
(RRR)
Rating Loss
Rate
(RLR)
AAA
12.08%
34.89%
7.86%
AA+
11.85%
37.08%
7.46%
AA
11.14%
37.03%
7.02%
AA-
10.52%
36.98%
6.63%
A+
9.97%
39.12%
6.07%
A
9.22%
38.95%
5.63%
A-
8.08%
38.67%
4.96%
BBB+
7.34%
40.76%
4.35%
BBB
6.81%
40.53%
4.05%
BBB-
6.37%
40.41%
3.80%
BB+
6.01%
41.31%
3.53%
BB
5.70%
41.21%
3.35%
BB-
5.43%
41.14%
3.19%
B+
5.17%
42.06%
3.00%
B
4.94%
41.95%
2.87%
B-
4.73%
41.80%
2.75%
B. Portfolio Default Distribution
The portfolio default distribution is displayed in the “SimulationSummaryGraphs” page. The
graph illustrates the distribution of default amounts obtained for the various scenarios. Figure
4 gives an example of such a graph.