GCPM: Generalized Credit Portfolio Model

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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.

Author
Kevin Jakob
Date of publication
2016-09-11 18:37:50
Maintainer
Kevin Jakob <Kevin.Jakob.Research@gmail.com>
License
GPL-2
Version
1.2.1

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/portfolio.pool.csv
GCPM/data/portfolios.RData
GCPM/data/portfolio.pois.csv
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