default-methods: Default Distribution

Description Usage Arguments Value See Also

Description

Get the default distribution of each portfolio position. Using “Poisson” as default distribution one can simulate the standard CR+ model or group smaller counterparties into a pool and simulate their defaults.

Usage

1
  default(this)

Arguments

this

Object of class GCPM

Value

character of length equal to number of portfolio positions

See Also

portfolio.pois


GCPM documentation built on May 29, 2017, 11:49 a.m.