search for: u_loss

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2011 Mar 25
1
Appending data to a data.frame and writing a csv
...1 = Default, 0 = no-default. L <- matrix(data=NA, nrow=n, ncol=samplesize, byrow=TRUE) for(i in 1:n)     L[i,] <- rbinom(n=samplesize, size=1, prob=exposure$pd[i]) # ________________________________________________________________ # compute for each simulation p_loss <- e_loss <- u_loss <- NULL for(i in 1:samplesize) {   defaulting <- subset(data.frame(id=exposure$id, ead=exposure$ead, lgd=exposure$lgd, pd=exposure$pd, loss=L[,i]), loss==1) p_loss[i]  <- sum(defaulting$ead * defaulting$lgd) e_loss[i]  <- sum(defaulting$ead * defaulting$lgd * defaulting$pd) u_loss[...