DefaultRiskyBondVaR: VaR for default risky bond portfolio
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

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

1 2	DefaultRiskyBondVaR(r, rf, coupon, sigma, amount.invested, recovery.rate, p, number.trials, hp, cl)

`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

Monte Carlo VaR

Dinesh Acharya

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

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

Dowd documentation built on May 2, 2019, 10:16 a.m.

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