crp.CSFP: CreditRisk+ Portfolio Model

Modelling credit risks based on the concept of "CreditRisk+", First Boston Financial Products, 1997 and "CreditRisk+ in the Banking Industry", Gundlach & Lehrbass, Springer, 2003.

AuthorKevin Jakob, Dr. Matthias Fischer & Stefan Kolb
Date of publication2016-09-11 18:35:59
MaintainerKevin Jakob <>

View on CRAN

Man pages

alpha.crp-methods: Get the maximum cdf levels for VaR of the model.

alpha.max_--methods: Set the maximal desired cdf level

alpha.max-methods: Get the maximum cdf level for loss distribution

alpha_--methods: Set the cdf level(s) for VaR

alpha-methods: Get the desired VaR level of the model.

a-methods: Get the parameter 'a' of the model.

B-methods: Get the parameter 'B' of the model.

calc.portfolio.statistics-methods: Calculating portfolio statistics

calc.rc_--methods: Get the value of the 'calc.rc'

calc.rc-methods: Set the state of 'calc.rc'

CDF-methods: Get the CDF of the model

changes.calc.portfolio.statistics-methods: Get the state of 'changes.calc.portfolio.statistics'.

changes.export-methods: Get the state of 'changes.export'

changes.loss-methods: Get the state of 'changes.loss'

changes.measure-methods: Get the state of 'changes.measure'

changes.plausi-methods: Get the state of 'changes.plausi'

changes.plot-methods: Get the state of 'changes.plot' Get the state of ''

changes.rc.vares-methods: Get the state of 'changes.rc.vares' Get the state of ''

CP.NR_--methods: Set the ID numbers of the counterparties in the model

CP.NR-methods: Get the ID numbers of the counterparties of the model

CP.rating_--methods: Set counterparties ratings

CP.rating-methods: Get counterparties ratings

crp.CSFP: Main routine for CSFP-model

crp.CSFP-class: Class '"crp.CSFP"'

crp.CSFP-package: CreditRisk+ Portfolio Model

crp.round: Rounding numerical values

EC-methods: Get the economic capital of the model

EL.crp-methods: Get the expected loss of the model after discretization.

EL-methods: Get the expected loss of the model

ES.cont-methods: Get the expected shortfall contributions

ES-methods: Get the expected shortfall of the model

ES.tau.cont-methods: Get the corresponding tau for expected shortfall...

export-methods: Export risk contributions and loss distribution Set the state of 'export to file' Get the status of ''

file.format_--methods: Set the file format

file.format-methods: Get the file format of the model

fo: Function to convert numerical output.

init: Initializing a new entity of class crp.CSFP

integrity.check-methods: Internal method to ensure model integrity

LGD_--methods: Set the counterparty specific LGDs

LGD-methods: Get the loss given defaults of the model

loss.dist-methods: Calculating the loss distribution

loss.k-methods: Get the expected loss per sector

loss-methods: Get the several losses (exposure bands) of the model

loss.unit_--methods: Set the loss unit

loss.unit-methods: Get the loss unit of the model

measure-methods: Calculating portfolio measures

M-methods: Get the number of iterations for loss distribution

mu.k-methods: Get the expected number of defauls per sector

name_--methods: Set the name of the model

name-methods: Get the name of the model

NC-methods: Get the number of counterparties in the model

NEX_--methods: Set the net exposure per counterparty

NEX-methods: Get the net exposure per counterparty

Niter.max_--methods: Set the maximal number of iterations or desired cdf level

Niter.max-methods: Get the desired number of iterations or cdf level for loss...

NS-methods: Get the number of sectors of the model

nu-methods: Get the discrete losses of the model

path.in_--methods: Set input path Get the input path of the model

path.out_--methods: Set output path

path.out-methods: Get the output path of the model

PD.crp-methods: Get the counterparty probabilities of default after...

PDF-methods: Get the PDF of the model

PD-methods: Get the counterparty probabilities of default of the model

pd_sector_var: Sector variances for the Credit Suisse example portfolio

plausi-methods: Checking input data for plausibility

PL.crp-methods: Get the potetnial losses per counterparty after...

PL-methods: Get the potetnial losses per counterparty

plot-methods: Plotting the PDF

plot.PDF_--methods: Set the state of 'PLOT.PDF'

plot.PDF-methods: Get the state of 'PLOT.PDF'

plot.range.x_--methods: Set the plot range for the losses

plot.range.x-methods: Get the plot range for losses

plot.range.y_--methods: Set the plot range for the probabilities

plot.range.y-methods: Get the plot range for probabilities

plot.scale_--methods: Set the plot scale for portfolio losses

plot.scale-methods: Get the plot scale for losses

portfolio: Portfolio data for the Credit Suisse example portfolio

port.name_--methods: Set the name for the portfolio file Get the name of the portfolio file

rating_--methods: Set the rating classes of the model

rating-methods: Get the rating classes of the model

rating_pd: Risk matrix for the Credit Suisse example portfolio

rating.PD_--methods: Set the PDs for rating classes

rating.PD-methods: Get the PDs of rating classes

rating.scale.name_--methods: Set the name for the file containing the rating scale Get the name of the file containing the risk matrix of the...

rating.SD_--methods: Set the standard deviations corresponding to rating classes

rating.SD-methods: Get the standard deviations corresponding to rating classes Calculating risk contributions to standard deviation

rc.vares-methods: Calculating risk contributions to VaR and ES

read-methods: Reading the input files

save.memory_--methods: Set the state of 'save.memory'

save.memory-methods: Get the state of 'save.memory'

SD.cont-methods: Get the contributions to standard deviation

SD.crp-methods: Get the discretized standard deviation of loss distribution

SD-methods: Get the standard deviation of the model

sec.var.est_--methods: Set the mode for sector variance estimation

sec.var.est-methods: Get the mode for sector variance estimation

sec.var_--methods: Set self estimated sector variances

sec.var-methods: Get self estimated sector variances

sec.var.name_--methods: Set the name of the file with the sector variances Set the name of the file with the sector variances

set.changes-methods: Internal method for model integrity

show-methods: Show summary of object crp.CSFP

sigma_k-methods: Get the sector standard deviation

sigma_sqr_div-methods: Get the diversifiable risk of the model

sigma_sqr_syst-methods: Get the systematik risk of the model

summary-methods: Summarize portfolio key numbers

VaR.cont-methods: Get the value at risk contributions on counterparty level

VaR-methods: Get the value at risk of the model

VaR.pos-methods: Get the position of value at risk in CDF

W_--methods: Set the sector weights of counterparties

W-methods: Get the sector weights of counterparties

write.summary-methods: Writing summary to file

Files in this package

crp.CSFP/man/read-methods.Rd crp.CSFP/man/summary-methods.Rd crp.CSFP/man/loss.k-methods.Rd crp.CSFP/man/rating.scale.name_--methods.Rd crp.CSFP/man/crp.CSFP-class.Rd crp.CSFP/man/a-methods.Rd crp.CSFP/man/PL-methods.Rd crp.CSFP/man/plot.range.x_--methods.Rd crp.CSFP/man/changes.plausi-methods.Rd crp.CSFP/man/alpha.max_--methods.Rd crp.CSFP/man/rating-methods.Rd crp.CSFP/man/sigma_k-methods.Rd crp.CSFP/man/rating_--methods.Rd crp.CSFP/man/ES-methods.Rd crp.CSFP/man/EL-methods.Rd crp.CSFP/man/CP.rating_--methods.Rd crp.CSFP/man/sec.var.name_--methods.Rd crp.CSFP/man/CDF-methods.Rd crp.CSFP/man/init.Rd crp.CSFP/man/plot.scale_--methods.Rd crp.CSFP/man/ crp.CSFP/man/plot-methods.Rd crp.CSFP/man/save.memory_--methods.Rd crp.CSFP/man/VaR-methods.Rd crp.CSFP/man/changes.calc.portfolio.statistics-methods.Rd crp.CSFP/man/integrity.check-methods.Rd crp.CSFP/man/ crp.CSFP/man/changes.export-methods.Rd crp.CSFP/man/CP.NR_--methods.Rd crp.CSFP/man/crp.CSFP-package.Rd crp.CSFP/man/calc.portfolio.statistics-methods.Rd crp.CSFP/man/CP.NR-methods.Rd crp.CSFP/man/NC-methods.Rd crp.CSFP/man/NEX_--methods.Rd crp.CSFP/man/path.in_--methods.Rd crp.CSFP/man/plot.range.x-methods.Rd crp.CSFP/man/nu-methods.Rd crp.CSFP/man/sec.var-methods.Rd crp.CSFP/man/name-methods.Rd crp.CSFP/man/PDF-methods.Rd crp.CSFP/man/pd_sector_var.Rd crp.CSFP/man/rating_pd.Rd crp.CSFP/man/SD.cont-methods.Rd crp.CSFP/man/alpha.max-methods.Rd crp.CSFP/man/loss.dist-methods.Rd crp.CSFP/man/plot.range.y_--methods.Rd crp.CSFP/man/ES.tau.cont-methods.Rd crp.CSFP/man/alpha-methods.Rd crp.CSFP/man/name_--methods.Rd crp.CSFP/man/PD.crp-methods.Rd crp.CSFP/man/save.memory-methods.Rd crp.CSFP/man/sigma_sqr_syst-methods.Rd crp.CSFP/man/calc.rc-methods.Rd crp.CSFP/man/path.out-methods.Rd crp.CSFP/man/mu.k-methods.Rd crp.CSFP/man/W_--methods.Rd crp.CSFP/man/fo.Rd crp.CSFP/man/ crp.CSFP/man/plot.scale-methods.Rd crp.CSFP/man/crp.round.Rd crp.CSFP/man/SD.crp-methods.Rd crp.CSFP/man/ crp.CSFP/man/calc.rc_--methods.Rd crp.CSFP/man/changes.loss-methods.Rd crp.CSFP/man/Niter.max-methods.Rd crp.CSFP/man/path.out_--methods.Rd crp.CSFP/man/ES.cont-methods.Rd crp.CSFP/man/ crp.CSFP/man/VaR.pos-methods.Rd crp.CSFP/man/rating.SD-methods.Rd crp.CSFP/man/EL.crp-methods.Rd crp.CSFP/man/ crp.CSFP/man/export-methods.Rd crp.CSFP/man/measure-methods.Rd crp.CSFP/man/loss-methods.Rd crp.CSFP/man/rc.vares-methods.Rd crp.CSFP/man/NEX-methods.Rd crp.CSFP/man/alpha.crp-methods.Rd crp.CSFP/man/NS-methods.Rd crp.CSFP/man/W-methods.Rd crp.CSFP/man/LGD_--methods.Rd crp.CSFP/man/plausi-methods.Rd crp.CSFP/man/plot.PDF_--methods.Rd crp.CSFP/man/sigma_sqr_div-methods.Rd crp.CSFP/man/CP.rating-methods.Rd crp.CSFP/man/rating.PD_--methods.Rd crp.CSFP/man/B-methods.Rd crp.CSFP/man/port.name_--methods.Rd crp.CSFP/man/changes.measure-methods.Rd crp.CSFP/man/sec.var.est-methods.Rd crp.CSFP/man/changes.rc.vares-methods.Rd crp.CSFP/man/write.summary-methods.Rd crp.CSFP/man/Niter.max_--methods.Rd crp.CSFP/man/loss.unit-methods.Rd crp.CSFP/man/plot.PDF-methods.Rd crp.CSFP/man/PD-methods.Rd crp.CSFP/man/sec.var.est_--methods.Rd crp.CSFP/man/ crp.CSFP/man/ crp.CSFP/man/EC-methods.Rd crp.CSFP/man/plot.range.y-methods.Rd crp.CSFP/man/LGD-methods.Rd crp.CSFP/man/alpha_--methods.Rd crp.CSFP/man/M-methods.Rd crp.CSFP/man/VaR.cont-methods.Rd crp.CSFP/man/rating.PD-methods.Rd crp.CSFP/man/rating.SD_--methods.Rd crp.CSFP/man/crp.CSFP.Rd crp.CSFP/man/loss.unit_--methods.Rd crp.CSFP/man/set.changes-methods.Rd crp.CSFP/man/SD-methods.Rd crp.CSFP/man/portfolio.Rd crp.CSFP/man/ crp.CSFP/man/sec.var_--methods.Rd crp.CSFP/man/file.format-methods.Rd crp.CSFP/man/changes.plot-methods.Rd crp.CSFP/man/show-methods.Rd crp.CSFP/man/PL.crp-methods.Rd crp.CSFP/man/file.format_--methods.Rd

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