CreditRisk: Evaluation of Credit Risk with Structural and Reduced Form Models
Version 0.1.1

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".

Getting started

Package details

AuthorAlessandro Cimarelli <[email protected]> [anl, aut, cre] Nicolò Manca <[email protected]> [anl, aut, cre]
Date of publication2017-10-02 10:54:16 UTC
MaintainerAlessandro Cimarelli <[email protected]>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
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CreditRisk documentation built on Oct. 2, 2017, 5:03 p.m.