Man pages for GCPM
Generalized Credit Portfolio Model

alpha.max-methodsMaximum CDF Level
analyze-methodsAnalyze a Credit Portfolio
business-methodsCounterparty Business Line
CDF-methodsCumulative Distribution Function of Portfolio Loss
country-methodsCountry Information
default-methodsDefault Distribution
EAD-methodsExposure at Default
EC.cont-methodsRisk Contributions to Economic Capital
EC-methodsEconomic Capital
EL.analyt-methodsExpected Loss (analytical)
EL-methodsExpected Loss (from Loss Distribution)
ES.cont-methodsRisk Contributions to Expected Shortfall
ES-methodsExpected Shortfall
export-methodsExport Main Results
GCPM-classClass '"GCPM"'
GCPM-packageGeneralized Credit Portfolio Model
idiosyncr-methodsIdiosyncratic Risk Weights
initInitialize an Object of Class 'GCPM'
LGD-methodsLoss Given Default
LHR-methodsLikelihood Ratio
link.function-methodsModel Link Function
loss-methodsLoss Levels
loss.thr-methodsThreshold of Saved Portfolio Loss
loss.unit-methodsLoss Unit
model.type-methodsModel Type
name-methodsCounterparty Names
NC-methodsNumber of Counterparties
N-methodsNumber of Simulations
NR-methodsCounterparty IDs
NS-methodsNumber of Sectors
PDF-methodsProbability Density Function
PD-methodsCounterparty Probability of Default
PL-methodsCounterparty Potential Loss
plot-methodsPlot of the Portfolio Loss Distribution
portfolio.poisExample Portfolio Data with Poisson Default Mode
portfolio.poolPooled Portfolio
portfoliosExample Portfolios for GCPM Package
random.numbers-methodsSector Drawings
SD.analyt-methodsStandard Deviation (from Portfolio Data)
SD.cont-methodsRisk Contributions to Portfolio Standard Deviation
SD.div-methodsDiversifiable Risk (Standard Deviation)
SD-methodsStandard Deviation (Loss Distribution)
SD.syst-methodsSystemic Risk (Standard Deviation)
sector.names-methodsSector Names
sec.var-methodsSector Variances
seed-methodsRandom Number Seed
show-methodsShow Parameters of Credit Portfolio Model
summary-methodsModel summary
VaR.cont-methodsRisk Contributions to Portfolio Value at Risk
VaR-methodsPortfolio Value at Risk
W-methodsSector Weights
GCPM documentation built on May 1, 2019, 8:50 p.m.