Man pages for CreditRisk
Evaluation of Credit Risk with Structural and Reduced Form Models

at1pAnalytically - Tractable First Passage (AT1P) model
BlackCoxBlack and Cox's model
calibrate.at1pAT1P model calibration to market CDS data
calibrate.BlackCoxBlack and Cox model calibration to market CDS data
calibrate.cdsCalibrate the default intensities to market CDS data
calibrate.sbtvSBTV model calibration to market CDS data
cdsCalculates Credit Default Swap rates
cds2Calculate Credit Default Swap rates
cdsdataCDS quotes from market
MertonMerton's model
Merton.simFirm value in Merton's model
sbtvScenario Barrier Time-Varying Volatility AT1P model
CreditRisk documentation built on Oct. 2, 2017, 5:03 p.m.