XploRe Help : VaRcredTcop2

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 VaRcredN2 VaRcredTcop

Quantlet:		VaRcredTcop2
Description:		Simulates a default distribution for a portfolio of obligors where the individual default driver is normally distributed. The dependence structure imposed corresponds to two homogeneous subportfolios driven by two default factors linked by a t-copula. Returns mean, variance and quantile chosen.

Usage:	`out =VaRcredTcop2(d1,d2,p,rho1,rho2,df,opt)`
Input:
	`d1`	scalar, number of obligors in first subportfolio
	`d2`	scalar, number of obligors in second subportfolio
	`p`	scalar, homogeneous default probability
	`rho1`	scalar, asset correlation generated by first factor; has to be positive
	`rho2`	scalar, asset correlation generated by second factor; has to be positive
	`df`	scalar, degrees of freedom of t-copula
	`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

Example:

library("VaR") options=VaRopt("alpha",0.99,"nsimu",500) randomize(1) VaRcredTcop2(20,30,0.05,0.2,0.1,15,options)

Result:

Contents of out.m
[1,]    2.472
Contents of out.v
[1,]   9.5042
Contents of out.VaR
[1,]       16

Author: R. Kiesel, Z. Hlavka, 20011204