R program about CREDIT RISK FACTORS
Budget: $10 – $30 USD
• Portfolio of 200 assets
• 5 year horizon
• Asset default probability of 2.3% (BBB level)
• Generate default distribution using different levels of correlations and a
one factor Gaussian copula default time model
• CODING ASSIGNMENT
• Implement a more generic version of the above example where information on N assets
can be read from an Excel File
• Horizon for the analysis should be a user input
• Asset default probabilities could come from the same input Excel file
• Generate and plot a default distribution using correlation information from the input Excel
file (i.e using factor loadings for each asset) and the option to select up to 5 factors (user
input).
This is all about this project
• 5 year horizon
• Asset default probability of 2.3% (BBB level)
• Generate default distribution using different levels of correlations and a
one factor Gaussian copula default time model
• CODING ASSIGNMENT
• Implement a more generic version of the above example where information on N assets
can be read from an Excel File
• Horizon for the analysis should be a user input
• Asset default probabilities could come from the same input Excel file
• Generate and plot a default distribution using correlation information from the input Excel
file (i.e using factor loadings for each asset) and the option to select up to 5 factors (user
input).
This is all about this project