Just a comment on the initial loss distribution in RORB. The list above says “The default Monte Carlo initial loss distribution now matches the values in Table 5.3.13 of Chapter 3, Book 5 of ARR2016”. This isn’t quite right. Table 5.3.13 has an error which has been fixed in RORB. Follow this link for more information.
This reply was modified 5 years, 9 months ago by FCRDSru.