defaultTimeseries: Creating a hypothetical Default Time Series.
In AssetCorr: Estimating Asset Correlations from Default Data

Description Usage Arguments Details Value Examples

This function return a time series of defaults.

1	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.