Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model
Updated Mon, 13 Mar 2006 11:07:40 +0000
% The code is explained in the article: Okunev, Pavel, "Fast Computation of
% the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio
% in the Gaussian Factor Model" (July 1, 2005). http://ssrn.com/abstract=758505
% This implements one factor Gaussian model.
% L = exposures,as fraction of total
% portfolio, taking into account the recovery rate
% Example: loan 1 is 0.01 fraction of the total portfolio, recovery rate is
% 40% then L(1)=0.01*(1-0.4)
% w = loading factors
% p = default probabilities
% LL = loss level expressed as a fraction 99% = 0.99
% N number of names in the portfolio
% pd = probability that portfolio loss will not exceed LL
% Copyright by Pavel Okunev 2005
% E-mail: firstname.lastname@example.org
% This code is provided as is. The author provides no warranty and assumes no responsibility for any
% losses due to the use of this code.
% You are granted permission to use this code for personal use and for
% academic research.
% This code may not be used for commercial purposes without explicit permission by the author.
% Permission for commercial use can be obtained by writing to email@example.com
% You may make and distribute a small number of copies of this code if you
% include this copyright notice with the code.
% If you distribute a modified version of this code you must include the copyright notice and
% conspicuously indicate that the code was modified.
% Please report bugs to:
% This integration routine serves as an example only. We highly
% recommend that the user should replace it with his/her favorite high order
Pavel Okunev (2023). Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model (https://www.mathworks.com/matlabcentral/fileexchange/10330-cumulative-distribution-function-of-cdo-loan-portfolio-loss-in-the-gaussian-factor-model), MATLAB Central File Exchange. Retrieved .
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