GCPM: Generalized Credit Portfolio Model

Analyze the default risk of credit portfolios. Commonly known models, like CreditRisk+ or the CreditMetrics model are implemented in their very basic settings. The portfolio loss distribution can be achieved either by simulation or analytically in case of the classic CreditRisk+ model. Models are only implemented to respect losses caused by defaults, i.e. migration risk is not included. The package structure is kept flexible especially with respect to distributional assumptions in order to quantify the sensitivity of risk figures with respect to several assumptions. Therefore the package can be used to determine the credit risk of a given portfolio as well as to quantify model sensitivities.

AuthorKevin Jakob
Date of publication2016-12-30 00:34:04
MaintainerKevin Jakob <Kevin.Jakob.Research@gmail.com>
LicenseGPL-2
Version1.2.2

View on CRAN

Man pages

alpha.max-methods: Maximum CDF Level

analyze-methods: Analyze a Credit Portfolio

business-methods: Counterparty Business Line

CDF-methods: Cumulative Distribution Function of Portfolio Loss

country-methods: Country Information

default-methods: Default Distribution

EAD-methods: Exposure at Default

EC.cont-methods: Risk Contributions to Economic Capital

EC-methods: Economic Capital

EL.analyt-methods: Expected Loss (analytical)

EL-methods: Expected Loss (from Loss Distribution)

ES.cont-methods: Risk Contributions to Expected Shortfall

ES-methods: Expected Shortfall

export-methods: Export Main Results

GCPM-class: Class '"GCPM"'

GCPM-package: Generalized Credit Portfolio Model

idiosyncr-methods: Idiosyncratic Risk Weights

init: Initialize an Object of Class 'GCPM'

LGD-methods: Loss Given Default

LHR-methods: Likelihood Ratio

link.function-methods: Model Link Function

loss-methods: Loss Levels

loss.thr-methods: Threshold of Saved Portfolio Loss

loss.unit-methods: Loss Unit

model.type-methods: Model Type

name-methods: Counterparty Names

NC-methods: Number of Counterparties

N-methods: Number of Simulations

NR-methods: Counterparty IDs

NS-methods: Number of Sectors

PDF-methods: Probability Density Function

PD-methods: Counterparty Probability of Default

PL-methods: Counterparty Potential Loss

plot-methods: Plot of the Portfolio Loss Distribution

portfolio.pois: Example Portfolio Data with Poisson Default Mode

portfolio.pool: Pooled Portfolio

portfolios: Example Portfolios for GCPM Package

random.numbers-methods: Sector Drawings

SD.analyt-methods: Standard Deviation (from Portfolio Data)

SD.cont-methods: Risk Contributions to Portfolio Standard Deviation

SD.div-methods: Diversifiable Risk (Standard Deviation)

SD-methods: Standard Deviation (Loss Distribution)

SD.syst-methods: Systemic Risk (Standard Deviation)

sector.names-methods: Sector Names

sec.var-methods: Sector Variances

seed-methods: Random Number Seed

show-methods: Show Parameters of Credit Portfolio Model

summary-methods: Model summary

VaR.cont-methods: Risk Contributions to Portfolio Value at Risk

VaR-methods: Portfolio Value at Risk

W-methods: Sector Weights

Files in this package

GCPM
GCPM/inst
GCPM/inst/include
GCPM/inst/include/cpploss.h
GCPM/src
GCPM/src/cpploss.cpp
GCPM/src/cpploss.h
GCPM/NAMESPACE
GCPM/data
GCPM/data/portfolios.RData
GCPM/data/portfolio.pool.csv.gz
GCPM/data/portfolio.pois.csv.gz
GCPM/R
GCPM/R/other_functions.R GCPM/R/cpploss.R GCPM/R/GCPM.R
GCPM/MD5
GCPM/DESCRIPTION
GCPM/man
GCPM/man/summary-methods.Rd GCPM/man/LHR-methods.Rd GCPM/man/PL-methods.Rd GCPM/man/portfolio.pois.Rd GCPM/man/ES-methods.Rd GCPM/man/EL-methods.Rd GCPM/man/default-methods.Rd GCPM/man/portfolio.pool.Rd GCPM/man/CDF-methods.Rd GCPM/man/init.Rd GCPM/man/loss.thr-methods.Rd GCPM/man/plot-methods.Rd GCPM/man/SD.analyt-methods.Rd GCPM/man/VaR-methods.Rd GCPM/man/random.numbers-methods.Rd GCPM/man/model.type-methods.Rd GCPM/man/SD.div-methods.Rd GCPM/man/EAD-methods.Rd GCPM/man/NC-methods.Rd GCPM/man/sec.var-methods.Rd GCPM/man/name-methods.Rd GCPM/man/PDF-methods.Rd GCPM/man/SD.cont-methods.Rd GCPM/man/alpha.max-methods.Rd GCPM/man/seed-methods.Rd GCPM/man/idiosyncr-methods.Rd GCPM/man/GCPM-package.Rd GCPM/man/sector.names-methods.Rd GCPM/man/analyze-methods.Rd GCPM/man/ES.cont-methods.Rd GCPM/man/GCPM-class.Rd GCPM/man/country-methods.Rd GCPM/man/export-methods.Rd GCPM/man/EL.analyt-methods.Rd GCPM/man/link.function-methods.Rd GCPM/man/loss-methods.Rd GCPM/man/NS-methods.Rd GCPM/man/W-methods.Rd GCPM/man/business-methods.Rd GCPM/man/EC.cont-methods.Rd GCPM/man/portfolios.Rd GCPM/man/loss.unit-methods.Rd GCPM/man/PD-methods.Rd GCPM/man/N-methods.Rd GCPM/man/EC-methods.Rd GCPM/man/LGD-methods.Rd GCPM/man/NR-methods.Rd GCPM/man/VaR.cont-methods.Rd GCPM/man/SD-methods.Rd GCPM/man/SD.syst-methods.Rd GCPM/man/show-methods.Rd

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