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