www.gusucode.com > risk 案例源码程序 matlab代码 > risk/DeterminetheRiskContributionforEachCounterpartyforacrediExample.m

    %% Determine the Risk Contribution for Each Counterparty for a |creditCopula| Object

%% 
% 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;  

%% 
% Use the |<docid:risk_ug.bvaj1_z-1 simulate>| function
% before running |riskContribution|. Then use |riskContribution| with the |creditCopula| object to generate the
% |riskContributions|. 
cc = simulate(cc,1e5);
riskContributions = riskContribution(cc);
riskContributions(1:10,:)