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

Functions

alpha.max Man page
alpha.max,GCPM Man page
alpha.max-methods Man page
analyze Man page
analyze,GCPM,data.frame,missing,missing-method Man page
analyze,GCPM,data.frame,missing,numeric-method Man page
analyze,GCPM,data.frame,numeric,missing-method Man page
analyze,GCPM,data.frame,numeric,numeric-method Man page
analyze,GCPM-method Man page
analyze-methods Man page
business Man page
business,GCPM-method Man page
business-methods Man page
CDF Man page
CDF,GCPM-method Man page
CDF-methods Man page
country Man page
country,GCPM-method Man page
country-methods Man page
default Man page
default,GCPM-method Man page
default-methods Man page
EAD Man page
EAD,GCPM-method Man page
EAD-methods Man page
EC Man page
EC.cont Man page
EC.cont,GCPM-method Man page
EC.cont,GCPM,numeric-method Man page
EC.cont-methods Man page
EC,GCPM,missing-method Man page
EC,GCPM,numeric-method Man page
EC-methods Man page
EL Man page
EL.analyt Man page
EL.analyt,GCPM-method Man page
EL.analyt-methods Man page
EL,GCPM-method Man page
EL-methods Man page
ES Man page
ES.cont Man page
ES.cont,GCPM-method Man page
ES.cont,GCPM,numeric-method Man page
ES.cont-methods Man page
ES,GCPM,missing-method Man page
ES,GCPM,numeric-method Man page
ES-methods Man page
export Man page
export,GCPM,character,character,missing-method Man page
export,GCPM,character,character,numeric-method Man page
export,GCPM,character,missing,missing-method Man page
export,GCPM,character,missing,numeric-method Man page
export,GCPM-method Man page
export,GCPM,missing,character,missing-method Man page
export,GCPM,missing,character,numeric-method Man page
export,GCPM,missing,missing,missing-method Man page
export,GCPM,missing,missing,numeric-method Man page
export-methods Man page
GCPM Man page
GCPM-class Man page
GCPM-package Man page
idiosyncr Man page
idiosyncr,GCPM-method Man page
idiosyncr-methods Man page
init Man page
LGD Man page
LGD,GCPM-method Man page
LGD-methods Man page
LHR Man page
LHR,GCPM-method Man page
LHR-methods Man page
link.function Man page
link.function,GCPM-method Man page
link.function-methods Man page
loss Man page
loss,GCPM-method Man page
loss-methods Man page
loss.thr Man page
loss.thr,GCPM-method Man page
loss.thr-methods Man page
loss.unit Man page
loss.unit,GCPM-method Man page
loss.unit-methods Man page
model.type Man page
model.type,GCPM-method Man page
model.type-methods Man page
N Man page
name Man page
name,GCPM-method Man page
name-methods Man page
NC Man page
NC,GCPM-method Man page
NC-methods Man page
N,GCPM-method Man page
N-methods Man page
NR Man page
NR,GCPM-method Man page
NR-methods Man page
NS Man page
NS,GCPM-method Man page
NS-methods Man page
PD Man page
PDF Man page
PDF,GCPM-method Man page
PDF-methods Man page
PD,GCPM-method Man page
PD-methods Man page
PL Man page
PL,GCPM-method Man page
PL-methods Man page
plot Man page
plot,ANY-method Man page
plot,GCPM-method Man page
plot-methods Man page
portfolio.pois Man page
portfolio.pool Man page
portfolios Man page
random.numbers Man page
random.numbers,GCPM-method Man page
random.numbers-methods Man page
SD Man page
SD.analyt Man page
SD.analyt,GCPM-method Man page
SD.analyt-methods Man page
SD.cont Man page
SD.cont,GCPM-method Man page
SD.cont-methods Man page
SD.div Man page
SD.div,GCPM-method Man page
SD.div-methods Man page
SD,GCPM-method Man page
SD-methods Man page
SD.syst Man page
SD.syst,GCPM-method Man page
SD.syst-methods Man page
sector.names Man page
sector.names,GCPM-method Man page
sector.names-methods Man page
sec.var Man page
sec.var,GCPM-method Man page
sec.var-methods Man page
seed Man page
seed,GCPM-method Man page
seed-methods Man page
show,GCPM-method Man page
show-methods Man page
summary Man page
summary,ANY-method Man page
summary,GCPM-method Man page
summary-methods Man page
VaR Man page
VaR.cont Man page
VaR.cont,GCPM-method Man page
VaR.cont,GCPM,numeric-method Man page
VaR.cont-methods Man page
VaR,GCPM-method Man page
VaR,GCPM,missing-method Man page
VaR,GCPM,numeric-method Man page
VaR-methods Man page
W Man page
W,GCPM-method Man page
W-methods Man page

Files

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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