DefaultRiskyBondVaR: VaR for default risky bond portfolio

Description Usage Arguments Value Author(s) References Examples

View source: R/DefaultRiskyBondVaR.R

Description

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

Usage

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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

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# 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 30, 2017, 1:30 a.m.