CreditMetrics: Functions for calculating the CreditMetrics risk model
Version 0.0-2

A set of functions for computing the CreditMetrics risk model

Browse man pages Browse package API and functions Browse package files

AuthorAndreas Wittmann <andreas_wittmann@gmx.de>
Date of publicationNone
MaintainerAndreas Wittmann <andreas_wittmann@gmx.de>
LicenseUnlimited
Version0.0-2
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("CreditMetrics")

Man pages

cm.cs: Computation of credit spreads
cm.CVaR: Computation of the Credit Value at Risk (CVaR)
cm.gain: Computation of simulated profits and losses
cm.hist: Profit / Loss Distribution histogram
cm.matrix: Testing for migration matrix
cm.portfolio: Computation of simulated portfolio values
cm.quantile: Computation of migration quantils
cm.ref: Computation of reference value
cm.rnorm: Computation of standard normal distributed random numbers
cm.rnorm.cor: Computation of correlated standard normal distributed random...
cm.state: Computation of state space
cm.val: Valuation for the credit positions of each scenario

Functions

cm.CVaR Man page
cm.cs Man page
cm.gain Man page
cm.hist Man page
cm.matrix Man page
cm.portfolio Man page
cm.quantile Man page
cm.ref Man page
cm.rnorm Man page
cm.rnorm.cor Man page
cm.state Man page
cm.val Man page

Files

R
R/CreditMetrics.R
man
man/cm.portfolio.Rd
man/cm.rnorm.Rd
man/cm.gain.Rd
man/cm.rnorm.cor.Rd
man/cm.state.Rd
man/cm.quantile.Rd
man/cm.val.Rd
man/cm.matrix.Rd
man/cm.cs.Rd
man/cm.hist.Rd
man/cm.CVaR.Rd
man/cm.ref.Rd
DESCRIPTION
NAMESPACE
CreditMetrics documentation built on May 19, 2017, 9:53 p.m.