VaR for default risky bond portfolio

Description

Generates Monte Carlo VaR for default risky bond portfolio in Chapter 6.4

Usage

DefaultRiskyBondVaR(r, rf, coupon, sigma, amount.invested, recovery.rate, p,
  number.trials, hp, cl)

Arguments

Value

Monte Carlo VaR

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# VaR for default risky bond portfolio for given parameters
   DefaultRiskyBondVaR(.01, .01, .1, .01, 1, .1, .2, 100, 100, .95)

Results

R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

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> library(Dowd)
Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: timeDate
This is forecast 7.1 

> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/Dowd/DefaultRiskyBondVaR.Rd_%03d_medium.png", width=480, height=480)
> ### Name: DefaultRiskyBondVaR
> ### Title: VaR for default risky bond portfolio
> ### Aliases: DefaultRiskyBondVaR
> 
> ### ** Examples
> 
> # VaR for default risky bond portfolio for given parameters
>    DefaultRiskyBondVaR(.01, .01, .1, .01, 1, .1, .2, 100, 100, .95)
[1] 0.9086031
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>