Result: CRI ratio for the portfolio Input: ISIN, Issuer, Rating, % Weight Output: CRI Require: a minimum of one position in a portfolio 1) Aggregate the same issuers if same issuer is repeated in portfolio then sum of weights for the same issuer end 2) Classify each rating ∀ issuer ∃ rating 3) Classify the default probability ∀ rating ∃ default probability pi, see Table 4 4) Calculate initial value , where pi is taken from step 3 5) Map the desired number of issuers ∀ rating ∃ ni 6) Calculate the diversification factor DF given that α = 1.05 7) Calculate the CRI contribution per issuer Calculation: step 1 * step 4 * step 6 8) Aggregate the CRI ratio for each issuer sum of all issuers from step 7 |