| Library: | VaR |
| See also: | VaRcopula VaRest VaRopt VaRcredTcop2 VarcredN |
| Quantlet: | VaRcredTcop | |
| Description: | Simulates a default distribution for a portfolio of homogeneous obligors where individual default drivers are normally distributed. The joint distribution is generated by the use of a t-copula. Returns mean, variance and the quantile chosen. |
| Usage: | out = VaRcredTcop(d, p, rho, df, opt) | |
| Input: | ||
| d | scalar, number of obligors | |
| p | scalar, default probability | |
| rho | scalar, asset correlation, has to be positive | |
| df | scalar, degrees of freedom of t-copula | |
| opt.alpha | significance level for VaR estimation. (Default = 0.95) | |
| opt.nsimu | number of simulations. (Default = 1000) | |
| Output: | ||
| out | list containing the mean, the variance and opt.alpha quantile of default distribution | |
library("VaR")
options=VaRopt("alpha",0.99,"nsimu",500)
randomize(1)
VaRcredTcop(20,0.05,0.2,10,options)
Contents of out.m [1,] 0.994 Contents of out.v [1,] 2.1984 Contents of out.VaR [1,] 6