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Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model 1.0

  Date Added: May 08, 2013  |  Visits: 279

Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model

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The code is explained in the article: Okunev, Pavel, "Fast Computation of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model" (July 1, 2005). http://ssrn.com/abstract=758505 This implements one factor Gaussian model. [pd]=pdgs(L,w,p,LL,N) L = exposures,as fraction of total portfolio, taking into account the recovery rate Example: loan 1 is 0.01 fraction of the total portfolio, recovery rate is 40% then L(1)=0.01*(1-0.4) w = loading factors p = default probabilities LL = loss level expressed as a fraction 99% = 0.99 N number of names in the portfolio pd = probability that portfolio loss will not exceed LL Copyright by Pavel Okunev 2005 E-mail: pokunev@math.lbl.gov This code is provided as is. The author provides no warranty and assumes no responsibility for any losses due to the use of this code. You are granted permission to use this code for personal use and for academic research. This code may not be used for commercial purposes without explicit permission by the author. Permission for commercial use can be obtained by writing to pokunev@math.lbl.gov You may make and distribute a small number of copies of this code if you include this copyright notice with the code. If you distribute a modified version of this code you must include the copyright notice and conspicuously indicate that the code was modified. Please report bugs to: pokunev@math.lbl.gov This integration routine serves as an example only. We highly recommend that the user should replace it with his/her favorite high order routine.

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License: Freeware Size: 10 KB
CUMULATIVE DISTRIBUTION FUNCTION OF CDO LOAN PORTFOLIO LOSS IN THE GAUSSIAN FACTOR MODEL RELATED
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