Description Usage Arguments Value Author(s) References Examples
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)
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