EL-methods: Expected Loss (from Loss Distribution)
In GCPM: Generalized Credit Portfolio Model
Description
Usage
Arguments
Value
See Also
Description
Get the expected loss (EL) calculated from the portfolio loss distribution.
Because of the discretization and/or simulation errors, this is not equal to
the analytical EL (see EL.analyt). Please also note, that in case
of a simulative model (with Bernoulli default distribution) of the CreditRisk+
type the simulated EL tends to be smaller than the analytical one because the
conditional PD \overline{PD}=PD\cdot (w^Tx) has to be truncated (if \overline{PD}>1).
Usage
1
EL(this)
Arguments
this
Object of class GCPM
Value
numeric value of length 1
See Also
GCPM documentation built on May 1, 2019, 8:50 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Value See Also
Description
Get the expected loss (EL) calculated from the portfolio loss distribution.
Because of the discretization and/or simulation errors, this is not equal to
the analytical EL (see EL.analyt). Please also note, that in case
of a simulative model (with Bernoulli default distribution) of the CreditRisk+
type the simulated EL tends to be smaller than the analytical one because the
conditional PD \overline{PD}=PD\cdot (w^Tx) has to be truncated (if \overline{PD}>1).
Usage
1 | EL(this)
|
Arguments
this |
Object of class |
Value
numeric value of length 1
See Also
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.