Hi, it is the granularity you want to use to describe the pool loss
distribution. Computing the loss distrib becomes more expensive the more buckets
you use. You have to consider the LGD of the names in the basket to find your
optimal size. See the second section in
Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation
John Hull and Alan White
Regards
Quoting shailesh kumar <
[hidden email]>:
>
> Hi,
> Please give me a detailed description of nBuckets in CDO class. Is it the
> same as the size of basket
>
> Regards,
> Shailesh
>
>
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