Man pages for GCPM
Generalized Credit Portfolio Model
| 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 |
