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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.

Publisher: Pavel Okunev | License: Freeware | Price: 0.00
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

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Shareware Connection periodically updates pricing and software information of 'Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model' from company source 'Pavel Okunev' , so some information may be slightly out-of-date. You should confirm all information before relying on it. Software piracy is theft,  Using 'Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model' crack, password, serial numbers, registration codes, key generators is illegal and prevent future development of Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model.

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