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Tranche Technology of Loan Securitization

Loan securitization is a sophisticated financial tool of funding and risk management for financial institutions. Since different investors have different risk preferences, bonds of different risk classes are issued and a given risk class is called tranche. In order to maximize profit, the thickness and rating level of each tranche must be determined optimally. By utilizing a normal inverse distribution function to simulate pool cash flow and the loss distribution of the portfolio, we put forward an economic capital model. In the model, portfolio economic capital is defined as a certain percentile of the portfolio loss distribution, and different strategies are accompanied by different conference levels for solvency, which generate different economic capital costs. Obviously, the strategy that total cost is smallest is the optimal one.