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 |