defaultTimeseries {AssetCorr}

Creating a hypothetical Default Time Series.

Description

This function return a time series of defaults.

Usage

defaultTimeseries(N, AC, Years, PD)

Arguments

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.

Details

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.

Value

The output contains a Nx1-vector with simulated defaults for each point in time.

Examples

D1<-defaultTimeseries(1000,0.1,10,0.01)