CreditMetrics: Functions for calculating the CreditMetrics risk model

Share:

A set of functions for computing the CreditMetrics risk model

Author
Andreas Wittmann <andreas_wittmann@gmx.de>
Date of publication
None
Maintainer
Andreas Wittmann <andreas_wittmann@gmx.de>
License
Unlimited
Version
0.0-2

View on CRAN

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

Files in this package

CreditMetrics
CreditMetrics/R
CreditMetrics/R/CreditMetrics.R
CreditMetrics/man
CreditMetrics/man/cm.portfolio.Rd
CreditMetrics/man/cm.rnorm.Rd
CreditMetrics/man/cm.gain.Rd
CreditMetrics/man/cm.rnorm.cor.Rd
CreditMetrics/man/cm.state.Rd
CreditMetrics/man/cm.quantile.Rd
CreditMetrics/man/cm.val.Rd
CreditMetrics/man/cm.matrix.Rd
CreditMetrics/man/cm.cs.Rd
CreditMetrics/man/cm.hist.Rd
CreditMetrics/man/cm.CVaR.Rd
CreditMetrics/man/cm.ref.Rd
CreditMetrics/DESCRIPTION
CreditMetrics/NAMESPACE