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Mahalanobis meinte am 3. Mar, 18:07:
R Code
n <- 5000
t <- 100000
rho <- 0.3
p <- 0.01

port.def <- array(0,t)
for(i in 0:t)
{
y <- rnorm(1)
e <- rnorm(n)
r <- sqrt(rho)*y + sqrt(1-rho)*e
port.def[i] = length(r[r<qnorm(p)])/n
}

# Plot histogram
library(MASS)
truehist(port.def, xlim=c(0,0.1), xlab="portfolio default rate", main="Vasicek Distribution, p = 0.01 and rho = 0.3") 
sodik (guest) antwortete am 7. Apr, 12:20:
I am preparing a research paper and collecting information on this topic. Your post is one of the better that I have read. Thank you for putting this information into one post.
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