Coding Project

CODING ASSIGNMENT

• Example

• 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

• 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).