www.gusucode.com > risk 案例源码程序 matlab代码 > risk/GenerateTablesforRiskMeasureandConfidenceIntervalsforacrExample.m
%% Generate Tables for Risk Measure and Confidence Intervals 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 |portfolioRisk|. Then use |portfolioRisk| with the |creditCopula| object to generate the |riskMeasure| % and |ConfidenceIntervals| tables. cc = simulate(cc,1e5); [riskMeasure,confidenceIntervals] = portfolioRisk(cc,'ConfidenceIntervalLevel',0.9)