DefaultRiskyBondVaR {Dowd}

VaR for default risky bond portfolio

Description

Generates Monte Carlo VaR for default risky bond portfolio in Chapter 6.4

Usage

DefaultRiskyBondVaR(r, rf, coupon, sigma, amount.invested, recovery.rate, p,
  number.trials, hp, cl)

Arguments

r

Spot (interest) rate, assumed to be flat

rf

Risk-free rate

coupon

Coupon rate

sigma

Variance

amount.invested

Amount Invested

recovery.rate

Recovery rate

p

Probability of default

number.trials

Number of trials

hp

Holding period

cl

Confidence level

Value

Monte Carlo VaR

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# VaR for default risky bond portfolio for given parameters
   DefaultRiskyBondVaR(.01, .01, .1, .01, 1, .1, .2, 100, 100, .95)