Man pages for CreditRisk
Evaluation of Credit Risk with Structural and Reduced Form Models
| at1p | Analytically - Tractable First Passage (AT1P) model |
| BlackCox | Black and Cox's model |
| calibrate.at1p | AT1P model calibration to market CDS data |
| calibrate.BlackCox | Black and Cox model calibration to market CDS data |
| calibrate.cds | Calibrate the default intensities to market CDS data |
| calibrate.sbtv | SBTV model calibration to market CDS data |
| cds | Calculates Credit Default Swap rates |
| cds2 | Calculate Credit Default Swap rates |
| cdsdata | CDS quotes from market |
| cum_normal_density | Cumulative Normal Distribution Function |
| generalized_black_scholes | Generalized Black-Scholes Option Pricing Model |
| Merton | Merton's model |
| Merton.sim | Firm value in Merton's model |
| sbtv | Scenario Barrier Time-Varying Volatility AT1P model |
