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,:)