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".

Getting started

Package details

AuthorAlessandro Cimarelli <[email protected]> [anl, aut, cre] Nicolò Manca <[email protected]> [anl, aut, cre]
MaintainerAlessandro Cimarelli <[email protected]>
LicenseMIT + file LICENSE
Version0.1.3
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("CreditRisk")

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CreditRisk documentation built on Jan. 22, 2018, 1:01 a.m.