# Documentation

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# getScenarios

Counterparty scenarios

## Syntax

``scenarios = getScenarios(cdc,scenarioIndices)``

## Description

example

````scenarios = getScenarios(cdc,scenarioIndices)` returns counterparty scenario details as a matrix of individual losses for each counterparty for the scenarios requested in `scenarioIndices`. The `simulate` function must be run before `getScenarios` is used. For more information on using a `creditDefaultCopula` object, see `creditDefaultCopula`.```

## Examples

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```load CreditPortfolioData.mat; ```

Create a `creditDefaultCopula` object with a two-factor model.

```cdc = creditDefaultCopula(EAD,PD,LGD,Weights2F,'FactorCorrelation',FactorCorr2F) ```
```cdc = creditDefaultCopula with properties: Portfolio: [100x5 table] FactorCorrelation: [2x2 double] VaRLevel: 0.9500 PortfolioLosses: [] ```

Set the `VaRLevel` to 99%.

```cdc.VaRLevel = 0.99; ```

Use the `simulate` function before running `getScenarios`. Use the `getSenarios` function with the `creditDefaultCopula` object to generate the `scenarios` matrix.

```cdc = simulate(cdc,1e5); scenarios = getScenarios(cdc,[2,3]); % expected loss for each scenario mean(scenarios) ```
```ans = 0.1382 1.1461 ```

## Input Arguments

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`creditDefaultCopula` object obtained after running the `simulate` function.

For more information on `creditDefaultCopula` objects, see `creditDefaultCopula`.

Specifies which scenarios are returned, entered as a vector.

## Output Arguments

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Counterparty losses, returned as `NumCounterparties`-by-`N` matrix where `N` is the number of elements in `scenarioIndices`.

### Note

If the number of scenarios requested is large, then the output matrix, `scenarios`, could be large and potentially limited by the available machine memory.

## References

[1] Crouhy, M., Galai, D., and Mark, R. “A Comparative Analysis of Current Credit Risk Models.” Journal of Banking and Finance. Vol. 24, 2000, pp. 59–117.

[2] Gordy, M. “A Comparative Anatomy of Credit Risk Models.” Journal of Banking and Finance. Vol. 24, 2000, pp. 119–149.

[3] Gupton, G., Finger, C., and Bhatia, M. “CreditMetrics – Technical Document.” J. P. Morgan, New York, 1997.

[4] Jorion, P. Financial Risk Manager Handbook. 6th Edition. Wiley Finance, 2011.

[5] Löffler, G., and Posch, P. Credit Risk Modeling Using Excel and VBA. Wiley Finance, 2007.

[6] McNeil, A., Frey, R., and Embrechts, P. Quantitative Risk Management: Concepts, Techniques, and Tools. Princeton University Press, 2005.