diff options
| -rw-r--r-- | R/build_portfolios.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index f7d2af39..3d6e4a26 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -65,8 +65,8 @@ global.params$cdoprices <- list("Aaa"=95, global.params$rollingmaturity <- 7 * 365
global.params$defaultedlag <- 90
global.params$defaultcorr <- 0.45
-global.params$defaultbondhazardrate <- 1500 * bps
-global.params$defaultloanhazardrate <- 1500 * bps
+global.params$defaultbondhazardrate <- 2500 * bps
+global.params$defaultloanhazardrate <- 2500 * bps
global.params$alpha <- 0.25
global.params$beta <- 15
global.params$shape <- function(T)0.25+(1-exp(-T/5))
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