www.gusucode.com > risk 案例源码程序 matlab代码 > risk/RunaSimulationUsingacreditCopulaObjectExample.m
%% Run a Simulation Using 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 |simulate| function with the |creditCopula| object. After using |simulate|, % you can then use the |<docid:risk_ug.bvaj2l_-1 portfolioRisk>|, |<docid:risk_ug.bvaj2yb-1 % riskContribution>|, and |<docid:risk_ug.bvc9zpv-1 confidenceBands>| functions % with the updated |creditCopula| object. cc = simulate(cc,1e5,'Copula','t','DegreesOfFreedom',10) %% % For instance, you can use |riskContribution| with the |creditCopula| object to generate the % |riskContributions|. riskContributions = riskContribution(cc); riskContributions(1:10,:)