| Library: | VaR |
| See also: | VaRcopula VaRest VaRopt VaRcredN2 |
| Quantlet: | VaRcredN | |
| Description: | Simulates a default distribution for a portfolio of homogeneous obligors where the default driver is normally distributed. Returns mean, variance and the quantile chosen. |
| Usage: | out = VaRcredN(d, p, rho, opt) | |
| Input: | ||
| d | scalar, number of obligors | |
| p | scalar, default probability | |
| rho | scalar, asset correlation, has to be positive | |
| opt.alpha | scalar, significance level for VaR estimation (Default = 0.95) | |
| opt.nsimu | scalar, number of simulations (Default = 1000) | |
| Output: | ||
| out | list containing the mean, the variance and opt.alpha quantile of default distribution | |
library("VaR")
randomize(1)
options=VaRopt("alpha",0.99,"nsimu",500)
VaRcredN(20,0.05,0.2,options)
Contents of out.m [1,] 1.038 Contents of out.v [1,] 1.8442 Contents of out.VaR [1,] 6