crp.CSFP: CreditRisk+ Portfolio Model

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

Author
Kevin Jakob, Dr. Matthias Fischer & Stefan Kolb
Date of publication
2016-09-11 18:35:59
Maintainer
Kevin Jakob <Kevin.Jakob.Research@gmail.com>
License
GPL-2
Version
2.0.2

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'
changes.rc.sd-methods
Get the state of 'changes.rc.sd'
changes.rc.vares-methods
Get the state of 'changes.rc.vares'
changes.read-methods
Get the state of 'changes.read'
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
export.to.file_--methods
Set the state of 'export to file'
export.to.file-methods
Get the status of 'export.to.file'
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
path.in-methods
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
port.name-methods
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
rating.scale.name-methods
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
rc.sd-methods
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
sec.var.name-methods
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
crp.CSFP/NAMESPACE
crp.CSFP/data
crp.CSFP/data/portfolio.csv
crp.CSFP/data/pd_sector_var.csv
crp.CSFP/data/rating_pd.csv
crp.CSFP/R
crp.CSFP/R/crpCSFPclass.r
crp.CSFP/R/other_functions.r
crp.CSFP/MD5
crp.CSFP/DESCRIPTION
crp.CSFP/man
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/path.in-methods.Rd
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/changes.read-methods.Rd
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/export.to.file-methods.Rd
crp.CSFP/man/plot.scale-methods.Rd
crp.CSFP/man/crp.round.Rd
crp.CSFP/man/SD.crp-methods.Rd
crp.CSFP/man/sec.var.name-methods.Rd
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/rc.sd-methods.Rd
crp.CSFP/man/VaR.pos-methods.Rd
crp.CSFP/man/rating.SD-methods.Rd
crp.CSFP/man/EL.crp-methods.Rd
crp.CSFP/man/rating.scale.name-methods.Rd
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/export.to.file_--methods.Rd
crp.CSFP/man/changes.rc.sd-methods.Rd
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/port.name-methods.Rd
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