www.gusucode.com > risk 案例源码程序 matlab代码 > risk/CreateacreditCopulaObjectandSimulatePortfolioLosseExample.m
%% Create a |creditCopula| Object and Simulate Credit Portfolio Losses %% % Load saved portfolio data. load CreditPortfolioData.mat; %% % Create a |creditCopula| object with a two-factor model. cc = creditCopula(EAD,PD,LGD,Weights2F,'FactorCorrelation',FactorCorr2F) %% % Set the |VaRLevel| to 99%. cc.VaRLevel = 0.99; %% % Simulate 100,000 scenarios and view the portfolio risk measures. cc = simulate(cc,1e5) portRisk = portfolioRisk(cc) %% % View a histogram of the portfolio losses. histogram(cc.PortfolioLosses); title('Distribution of Portfolio Losses'); %% % For further analysis, use the |<docid:risk_ug.bvaj1_z-1 simulate>|, |<docid:risk_ug.bvaj2l_-1 % portfolioRisk>|, and |<docid:risk_ug.bvaj2yb-1 riskContribution>| functions % with the |creditCopula| object.