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.
Free download from Shareware Connection - 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.
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 21-01-2013 | Rating: 0 | Title: Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model
Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/10330/1/cdfgauss.txt
Fast Computation of the Expected Tranche Loss of CDO Credit Portfolio - The code is explained in the article P. Okunev, "A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model", LBNL-57676, 2005
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Fast Computation of the Expected Tranche Loss of CDO Credit Portfolio - The code is explained in the article P. Okunev, "A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model", LBNL-57676, 2005
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