defaultTimeseries {AssetCorr} | R Documentation |
This function return a time series of defaults.
defaultTimeseries(N, AC, Years, PD)
N |
Number of obligors for each point in time. |
AC |
Desired asset correlation. |
Years |
Number of points in time, which corresponds to the length of the default time series. |
PD |
Uniform probability of default assumed for each obligor. |
This function can be used to draw a random default time series, assuming a specific length of the time series, number of obligors, a uniform asset correlation and a uniform probability of default.
The output contains a Nx1-vector with simulated defaults for each point in time.
D1<-defaultTimeseries(1000,0.1,10,0.01)