R Exercises | Programming Exercises for Finance in the R Language

Distributions: Exercises

3. Default rate. You are told that there are an average of 10 defaults in a loan portfolio each month. Assume that the number of monthly defaults follows a Poisson distribution.

Simulate a time series of monthly defaults for 48 periods using rpois(n, lambda).



                                # Define the number of time periods.
                                n <- ___

                                # Define the parameter lambda.
                                lambda <- ___

                                # Simulate times series of defaults.
                                defaults <- ___(n, ___)

                                # Plot time series.
                                plot(defaults)



                                # Define the number of time periods.
                                n <- 48

                                # Define the parameter lambda.
                                lambda <- 10

                                # Simulate times series of defaults.
                                defaults <- rpois(n, lambda)

                                # Plot time series.
                                plot(defaults)


                              test_error()
                              test_object("n", incorrect_msg="Check the number of months in the simulation.")
                              test_object("lambda", incorrect_msg="Recall that the lambda paramter is equal to the mean (and variance) of the distribution.")
                              success_msg("Excellent work.")

Check the problem description for the number of months and value of lambda.

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