XploRe Help : VaRcredN2

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:	VaRcopula VaRest VaRopt VaRcredN

Quantlet:		VaRcredN2
Description:		Simulates a default distribution for a portfolio of obligors where the (joint) default driver is normally distributed. The dependence structure imposed corresponds to two homogeneous subportfolios driven by two default factors. Returns mean, variance and the quantile chosen.

Usage:	`out = VaRcredN2(d1,d2,p,rho1,rho2,opt)`
Input:
	`d1`	scalar, number of obligors in the first subportfolio
	`d2`	scalar, number of obligors in the second subportfolio
	`p`	scalar, homogeneous default probability
	`rho1`	scalar, asset correlation generated by the first factor; has to be positive
	`rho2`	scalar, asset correlation generated by the second factor; 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 the default distribution

Example:

library("VaR") options=VaRopt("alpha",0.99,"nsimu",500) randomize(1) VaRcredN2(20,30,0.05,0.2,0.1,options)

Result:

Contents of out.m
[1,]    2.548
Contents of out.v
[1,]   8.6169
Contents of out.VaR
[1,]        13

Author: R. Kiesel, Z. Hlavka, 20011204