defaultTimeseries: Creating a hypothetical Default Time Series.
Description
This function return a time series of defaults.
Usage
defaultTimeseries(N, AC, Years, PD)
Arguments
N
Number of obligors for each point in time.
AC
Desired asset correlation.
Years
Number of points in time, which corresponds to the length of the default time series.
PD
Uniform probability of default assumed for each obligor.
Value
The output contains a Nx1-vector with simulated defaults for each point in time.
Details
This function can be used to draw a random default time series, assuming a specific length of the time series, number of obligors, a uniform asset correlation and a uniform probability of default.