CreditRisk: Evaluation of Credit Risk with Structural and Reduced Form Models

Evaluation of default probability of sovereign and corporate entities based on structural or intensity based models and calibration on market Credit Default Swap quotes. Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013): "Counterparty Credit Risk, Collateral and Funding. With Pricing Cases for All Asset Classes".

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Package details

AuthorAlessandro Cimarelli <> [anl, aut, cre] Nicolò Manca <> [anl, aut, cre]
MaintainerAlessandro Cimarelli <>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
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CreditRisk documentation built on May 1, 2019, 9:38 p.m.