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Blended Finance Waterfall: Default Distribution View

2D binomial-distribution counterpart to the blended-finance capital-stack simulator: watch the full probability mass function of portfolio defaults, colored by which capital tranche absorbs the loss, and cascade a random draw up the waterfall on a flat capital-stack gauge.

Financial Models & Markets2DAdvanced60 FPS📱 Mobile-adapted⇄ 3D version

Details

CategoryFinancial Models & Markets

RenderingCanvas 2D

DifficultyAdvanced

Target FPS60

ControlsSliders for the public first-loss tranche size, the concessional mezzanine tranche size, project default probability and loss-given-default, a Simulate Year button that draws a random default scenario and updates the project strip, PMF chart and stack gauge, and a Reset Monte Carlo Tally button.

climate financeblended financecapital stackbinomial distributionprobability mass functionrisk tranchingmonte carlo

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This 2D companion to the blended-finance capital-stack simulator renders the same binomial-waterfall model as a probability distribution rather than a 3D scene: the full probability mass function of the portfolio's default count, binned by exactly which tranche a given outcome would breach, next to a flat capital-stack gauge and a live-updating Monte Carlo tally that converges toward the closed-form curve as you simulate more years. Tune the tranche sizes and the underlying project risk, then simulate individual years to see exactly which projects default and how far the loss climbs before it reaches private capital.

⚙ Under the hood

2D binomial-distribution counterpart to the blended-finance capital-stack simulator: tune a public first-loss tranche, a concessional mezzanine layer and a private senior tranche over a 30-project climate portfolio, and watch the full probability mass function of portfolio defaults rendered as a bar chart, colored by which tranche absorbs the loss, next to a flat capital-stack gauge and a live Monte Carlo tally that converges to the theoretical curve as you simulate more years.

climate financeblended financecapital stackbinomial distributionprobability mass functionrisk tranchingmonte carlo

2D · HTML5 Canvas 2D · 60 FPS target · runs fully client-side, no install