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Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model

version 1.0.0.0 (1.3 KB) by Pavel Okunev
Computes Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model

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Updated 13 Mar 2006

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% 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.

% [pd]=pdgs(L,w,p,LL,N)

% 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: pokunev@math.lbl.gov

%

% 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 pokunev@math.lbl.gov

%

% 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:

% pokunev@math.lbl.gov

%

% This integration routine serves as an example only. We highly

% recommend that the user should replace it with his/her favorite high order

% routine.

Cite As

Pavel Okunev (2021). 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 .

Comments and Ratings (1)

Fan Tingting

Thank you for your hard work.

MATLAB Release Compatibility
Created with R14SP1
Compatible with any release
Platform Compatibility
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