Explores how to simulate correlated counterparty defaults using a multifactor copula model.
Simulate random portfolios with different distributions and compare their concentration indices. For illustration purposes, a lognormal and Weibull distribution are used. The
Compare the Merton model approach, where equity volatility is provided, to the time series approach.
Calculate capital requirements and value-at-risk (VaR) for a credit sensitive portfolio of exposures using the asymptotic single risk factor (ASRF) model. This example also shows how to
Sweep through a range of values for an existing exposure from 0 to double the current value and plot the corresponding values. This could be used as one criterion (among others) for assessing