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信心带

Confidence interval bands

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Syntax

可疑= confidenceBands (cdc)
cbtable =信心带（CDC，名称，值）

描述

example

可疑= confidenceBands (cdc)返回请求的风险度量及其相关置信带的表。信心带用于研究风险度量的值及其相关置信区间的价值如何随着场景数量的增加而融合。这simulatefunction must be run before信心带用来。有关使用的更多信息creditDefaultCopulaobject, seecreditDefaultCopula.

example

可疑= confidenceBands (cdc,Name,Value)添加可选的名称值对参数。

例子

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打开实时脚本

Load saved portfolio data.

loadCreditPortFolioData.mat;

创建一个creditDefaultCopula具有两因素模型的对象。

CDC = CreditDefaultCopula（EAD，PD，LGD，strighs2f，'FactorCorrelation',FactorCorr2F)
cdc = creditDefaultCopula with properties: Portfolio: [100x5 table] FactorCorrelation: [2x2 double] VaRLevel: 0.9500 UseParallel: 0 PortfolioLosses: []

Set theVARLEVEL至99％。

cdc.VaRLevel = 0.99;

Use thesimulatefunction before running信心带. Use信心带与creditDefaultCopula对象生成可疑.

CDC =模拟（CDC，1E5）;cbtable =信心带（CDC，“风险量”,'std',“信心界面”,0.9); cbTable(1:10,:)
ans =10×4桌NumScenarios Lower Std Upper ____________ ______ ______ ______ 1000 23.38 24.237 25.166 2000 23.255 23.859 24.497 3000 23.617 24.117 24.642 4000 23.44 23.871 24.319 5000 23.504 23.891 24.291 6000 23.582 23.935 24.301 7000 23.756 24.086 24.426 8000 23.587 23.893 24.208 9000 23.582 23.871 24.167 10000 23.525 23.799 24.079

Input Arguments

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creditDefaultCopulaobject obtained after running thesimulatefunction.

有关更多信息creditDefaultCopula对象，请参阅creditDefaultCopula.

Name-Value Arguments

将可选的参数对Name1=Value1,...,NameN=ValueN, whereNameis the argument name and价值是相应的值。名称值参数必须在其他参数之后出现，但是对的顺序并不重要。

Before R2021a, use commas to separate each name and value, and encloseNamein quotes.

例子：cbtable =信心带（CDC，'风险级别'，'std'，'ProfesterVallevel'，0.9，'numpoints'，50）

Risk measure to investigate, specified as the comma-separated pair consisting of“风险量”和字符向量或字符串。可能的值是：

  • 'EL'— Expected loss, the mean of portfolio losses

  • 'std'— Standard deviation of the losses

  • 'VaR'- 在由VARLEVEL属性creditDefaultCopulaobject

  • 'cvar'— Conditional VaR at the threshold specified by theVARLEVEL属性creditDefaultCopulaobject

Data Types:char|string

置信区间水平, specified as the comma-separated pair consisting of“信心界面”和a numeric between0和1. For example, if you specify0.95，在输出表中报告了95％的置信区间（可疑).

Data Types:double

Number of scenario samples to report, specified as the comma-separated pair consisting of'NumPoints'和一个非负整数。默认值为100，据报道，在100个均匀间隔的点上，置信带的增加范围从0到模拟场景总数。

Note

NumPointsmust be a numeric scalar greater than1, and is typically much smaller than total number of scenarios simulated.信心带can be used to obtain a qualitative idea of how fast a risk measure and its confidence interval are converging. Specifying a large value forNumPointsis not recommended and could cause performance issues with信心带.

Data Types:double

Output Arguments

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Requested risk measure and associated confidence bands at each of theNumPointsscenario sample sizes, returned as a table containing the following columns:

  • NumScenarios- 样本点的场景数量

  • Lower— Lower confidence band

  • RiskMeasure— Requested risk measure where the column takes its name from whatever risk measure is requested with the optional inputRiskMeasure

  • Upper- 高信任带

参考

[1] Crouhy, M., Galai, D., and Mark, R. “A Comparative Analysis of Current Credit Risk Models.”银行和金融杂志。Vol. 24, 2000, pp. 59 – 117.

[2] Gordy, M. “A Comparative Anatomy of Credit Risk Models.”银行和金融杂志。Vol. 24, 2000, pp. 119 – 149.

[3] Gupton，G.，Finger，C。和Bhatia，M。“CreditMetrics – Technical Document.”J. P. Morgan, New York, 1997.

[4] Jorion, P.Financial Risk Manager Handbook.6th Edition. Wiley Finance, 2011.

[5] Löffler, G., and Posch, P.Credit Risk Modeling Using Excel and VBA.Wiley Finance，2007年。

[6] McNeil, A., Frey, R., and Embrechts, P.Quantitative Risk Management: Concepts, Techniques, and Tools.普林斯顿大学出版社，2005年。

Version History

Introduced in R2017a

See Also

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