SimulateTimeToDefault

See Also

Description

The SimulateTimeToDefault simulates the time when an asset will default. This time-of-default is obtained by coupling (i.e. the Copula) the Asset's multivariate returns to the Asset's / Obligor's cumulative probability of defaulting over time .

Note: This document assumes you are familiar with credit curves (credit default curves). If you are not at ease with Credit Curves (Credit Default curves), we recommend you read the Credit Curve / EDF document and on-line help available in the credit risk section.

This library is a stripped down simplified version of the Obligor TimeToDefault module available in RiskServers SA Online Calculation engine. Risksvr™ simulates both survival/continuation as well as termination buffer-capital from credit curve default data (EDFs, survival, hazards, transition matrices, marginal)..

TimeToDefault technology opens the door to numerous applications, from CDO and CDO² valuation to advanced Credit Risk Management and Optimization.

Syntax

SimulateTimeToDefault(

Random Generator Seed,

Number of Random Samples,

Expected Mean of Samples,

Credit Curve Realm,

Obligor Definition Realm,

Obligor CorrelationRealm,

The Activation Key,

Distribution Type,

Degrees of Freedom (Only for Fat-Tail / T-Distributions)

)

Arguments

Random Generator Seed:

An integer value to Seed the Random Generator.

Random Generator Samples:

The number of random values to generate for each obligor in the analysis.

Samples Residual Mean:

The expected mean of the multivariate normal distribution, in most cases this should be set to 0.

Credit Curve Realm:

The full path and filename or the cell range that contains the Credit-Curve data.
For further information, see the Layout section below.

Obligor Definition Realm:

The full path and filename or the cell range that contains the Obligors in the analysis.
For further information, see the Layout section below.

Obligor Correlation Realm:

The full path and filename or the cell range that contains the Credit-Curve data.
For further information. see Layout section below.

The Activation Key :

Either 0 (IDLE) or 1 (ACTIVE).
This field is due to the Automatic recalculation signal sent by the Excel® Wizard when fields are empty.

Serves as a control for Live spreadsheets with real-time data feeds.

Distribution Type:

The type of Distribution Generated. Defined either as a Keyword or an integer.
NORMAL  = 0. Generates a Multivariate Gaussian Distribution. This is the Default Distribution Type.
T-POLAR  = 1. Generates a Multivariate Student-T / Fat-Tail Distribution using the adapted Box-Muller Polar Coordinates random samples.
T-CHI  = 1. Generates a Multivariate Student-T / Fat-Tail Distribution using the Normal Mixture Gamma Chi Distribution.

 

Degrees of Freedom:

The Degrees of Freedom are only necessary for Student-T Distributions.

An integer or double that defined the degrees of freedom of the T distribution.

 

Return Type

The function returns a range of cells.

If you forget to select a range as the return type, the functions will only display the first value in the array.

The function returns a Matrix of size:

Rows:

1 header rows. Obligor Name) + number of samples.

Columns:

number of assets / obligors in the Analysis:

For each Column, The First row contain the Name of the simulated Asset (Obligor).,