Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: VaR
See also: VaRRatMigCount VaRRatMigRateM VaRcredN

Quantlet: VaRRatMigRate
Description: computes the migration rates and the related estimated standard errors from the matrix of migration counts

Link:
Usage: b = VaRRatMigRate (counts, rho, s)
Input:
counts d-1 x d x m array of counts of migrations, i.e., the (i,j)-th element of the k-th matrix contains the number of migrations from state i to state j.
rho scalar, correlation coefficient for equicorrelation
s scalar, upper bound for the standard deviation of the Monte Carlo estimator for beta
Output:
b.nstart d-1 x 1 x m array containing the portfolio weights before migration
b.nend d x 1 x m array containing the portfolio weights after migration
b.etp d-1 x d x m array containing the estimated transition probabilities
b.etv d-1 x d-1 x m array of the estimated threshold values
b.emc d-1 x d x m array representing the estimated migration correlations
b.esd d-1 x d x m array representing the estimated standard deviations

Note:

Example:
library("VaR")
randomize(0)
counts=#(3,0)~#(2,3)~#(1,2)
b=VaRRatMigRate(counts,0.5,0.005)
b

Result:
Contents of b.nstart
[1,]        6
[2,]        5
Contents of b.nend
[1,]        3
[2,]        5
[3,]        3
Contents of b.etp
[1,]      0.5    0.333    0.167
[2,]        0      0.6      0.4
Contents of b.etv
[1,]        0    0.967
[2,]     -INF    0.253
Contents of b.emc
[1,]     0.298   0.117    0.285
[2,]     -NAN    0.292    0.351
Contents of b.esd
[1,]    0.322    0.242    0.237
[2,]     +NAN    0.322     0.34



Author: S. Hoese, S. Huschens, R. Wania, 20011008
(C) MD*TECH Method and Data Technologies, 05.02.2006