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.

Install the latest version of this package by entering the following in R:
install.packages("crp.CSFP")
AuthorKevin Jakob, Dr. Matthias Fischer & Stefan Kolb
Date of publication2016-09-11 18:35:59
MaintainerKevin Jakob <Kevin.Jakob.Research@gmail.com>
LicenseGPL-2
Version2.0.2

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

Functions

a Man page
a,crp.CSFP-method Man page
alpha Man page
alpha<- Man page
alpha.crp Man page
alpha.crp,crp.CSFP-method Man page
alpha,crp.CSFP-method Man page
alpha<-,crp.CSFP,numeric-method Man page
alpha.crp-methods Man page
alpha.max Man page
alpha.max<- Man page
alpha.max,crp.CSFP-method Man page
alpha.max<-,crp.CSFP,numeric-method Man page
alpha.max<--methods Man page
alpha.max-methods Man page
alpha<--methods Man page
alpha-methods Man page
a-methods Man page
B Man page
B,crp.CSFP-method Man page
B-methods Man page
calc.portfolio.statistics Man page
calc.portfolio.statistics,crp.CSFP-method Man page
calc.portfolio.statistics-methods Man page
calc.rc Man page
calc.rc<- Man page
calc.rc<-,crp.CSFP,logical-method Man page
calc.rc,crp.CSFP-method Man page
calc.rc<--methods Man page
calc.rc-methods Man page
CDF Man page
CDF,crp.CSFP-method Man page
CDF-methods Man page
changes.calc.portfolio.statistics Man page
changes.calc.portfolio.statistics,crp.CSFP-method Man page
changes.calc.portfolio.statistics-methods Man page
changes.export Man page
changes.export,crp.CSFP-method Man page
changes.export-methods Man page
changes.loss Man page
changes.loss,crp.CSFP-method Man page
changes.loss-methods Man page
changes.measure Man page
changes.measure,crp.CSFP-method Man page
changes.measure-methods Man page
changes.plausi Man page
changes.plausi,crp.CSFP-method Man page
changes.plausi-methods Man page
changes.plot Man page
changes.plot,crp.CSFP-method Man page
changes.plot-methods Man page
changes.rc.sd Man page
changes.rc.sd,crp.CSFP-method Man page
changes.rc.sd-methods Man page
changes.rc.vares Man page
changes.rc.vares,crp.CSFP-method Man page
changes.rc.vares-methods Man page
changes.read Man page
changes.read,crp.CSFP-method Man page
changes.read-methods Man page
CP.NR Man page
CP.NR<- Man page
CP.NR,crp.CSFP-method Man page
CP.NR<-,crp.CSFP,numeric-method Man page
CP.NR<--methods Man page
CP.NR-methods Man page
CP.rating Man page
CP.rating<- Man page
CP.rating,crp.CSFP-method Man page
CP.rating<-,crp.CSFP,numeric-method Man page
CP.rating<--methods Man page
CP.rating-methods Man page
crp.calc.portfolio.statistics Man page
crp.calc.portfolio.statistics,crp.CSFP-method Man page
crp.CSFP Man page
crp.CSFP-class Man page
crp.CSFP,crp.CSFP,logical-method Man page
crp.CSFP,crp.CSFP-method Man page
crp.CSFP,crp.CSFP,missing-method Man page
crp.CSFP.loss Man page
crp.CSFP.loss,crp.CSFP-method Man page
crp.CSFP-methods Man page
crp.CSFP-package Man page
crp.CSFP.rc.sd Man page
crp.CSFP.rc.sd,crp.CSFP-method Man page
crp.CSFP.rc.vares Man page
crp.CSFP.rc.vares,crp.CSFP-method Man page
crp.export Man page
crp.export,crp.CSFP-method Man page
crp.init Man page
crp.measure Man page
crp.measure,crp.CSFP-method Man page
crp.plausi Man page
crp.plausi,crp.CSFP-method Man page
crp.plot Man page
crp.plot,crp.CSFP-method Man page
crp.read Man page
crp.read,crp.CSFP-method Man page
crp.round Man page
crp.set.changes Man page
crp.set.changes,character,crp.CSFP-method Man page
crp.summary Man page
crp.summary,crp.CSFP-method Man page
crp.write.summary Man page
crp.write.summary,crp.CSFP-method Man page
crp.write.summary-methods Man page
EC Man page
EC,crp.CSFP-method Man page
EC-methods Man page
EL Man page
EL.crp Man page
EL.crp,crp.CSFP-method Man page
EL,crp.CSFP-method Man page
EL.crp-methods Man page
EL-methods Man page
ES Man page
ES.cont Man page
ES.cont,crp.CSFP-method Man page
ES.cont-methods Man page
ES,crp.CSFP-method Man page
ES-methods Man page
ES.tau.cont Man page
ES.tau.cont,crp.CSFP-method Man page
ES.tau.cont-methods Man page
export Man page
export,crp.CSFP-method Man page
export-methods Man page
export.to.file Man page
export.to.file<- Man page
export.to.file<-,crp.CSFP,logical-method Man page
export.to.file,crp.CSFP-method Man page
export.to.file<--methods Man page
export.to.file-methods Man page
file.format Man page
file.format<- Man page
file.format<-,crp.CSFP,character-method Man page
file.format,crp.CSFP-method Man page
file.format<--methods Man page
file.format-methods Man page
fo Man page
get.a Man page
get.a,crp.CSFP-method Man page
get.ALPHA Man page
get.ALPHA.crp Man page
get.ALPHA.crp,crp.CSFP-method Man page
get.ALPHA,crp.CSFP-method Man page
get.ALPHA.MAX Man page
get.ALPHA.MAX,crp.CSFP-method Man page
get.B Man page
get.B,crp.CSFP-method Man page
get.CALC.RISK.CONT Man page
get.CALC.RISK.CONT,crp.CSFP-method Man page
get.CDF Man page
get.CDF,crp.CSFP-method Man page
get.changes.crp.calc.portfolio.statistics Man page
get.changes.crp.calc.portfolio.statistics,crp.CSFP-method Man page
get.changes.crp.CSFP.loss Man page
get.changes.crp.CSFP.loss,crp.CSFP-method Man page
get.changes.crp.CSFP.rc.sd Man page
get.changes.crp.CSFP.rc.sd,crp.CSFP-method Man page
get.changes.crp.CSFP.rc.vares Man page
get.changes.crp.CSFP.rc.vares,crp.CSFP-method Man page
get.changes.crp.export Man page
get.changes.crp.export,crp.CSFP-method Man page
get.changes.crp.measure Man page
get.changes.crp.measure,crp.CSFP-method Man page
get.changes.crp.plausi Man page
get.changes.crp.plausi,crp.CSFP-method Man page
get.changes.crp.plot Man page
get.changes.crp.plot,crp.CSFP-method Man page
get.changes.crp.read Man page
get.changes.crp.read,crp.CSFP-method Man page
get.CP.NR Man page
get.CP.NR,crp.CSFP-method Man page
get.CP.RATING Man page
get.CP.RATING,crp.CSFP-method Man page
get.EC Man page
get.EC,crp.CSFP-method Man page
get.EL Man page
get.EL.crp Man page
get.EL.crp,crp.CSFP-method Man page
get.EL,crp.CSFP-method Man page
get.ES Man page
get.ES.CONT Man page
get.ES.CONT,crp.CSFP-method Man page
get.ES,crp.CSFP-method Man page
get.ES.TAU.CONT Man page
get.ES.TAU.CONT,crp.CSFP-method Man page
get.file.format Man page
get.file.format,crp.CSFP-method Man page
get.LGD Man page
get.LGD,crp.CSFP-method Man page
get.LOSS Man page
get.LOSS,crp.CSFP-method Man page
get.LOSS.UNIT Man page
get.LOSS.UNIT,crp.CSFP-method Man page
get.M Man page
get.M,crp.CSFP-method Man page
get.MU.K Man page
get.MU.K,crp.CSFP-method Man page
get.NAME Man page
get.NAME,crp.CSFP-method Man page
get.NC Man page
get.NC,crp.CSFP-method Man page
get.NEX Man page
get.NEX,crp.CSFP-method Man page
get.NITER.MAX Man page
get.NITER.MAX,crp.CSFP-method Man page
get.NS Man page
get.NS,crp.CSFP-method Man page
get.NU Man page
get.NU,crp.CSFP-method Man page
get.PATH.IN Man page
get.PATH.IN,crp.CSFP-method Man page
get.PATH.OUT Man page
get.PATH.OUT,crp.CSFP-method Man page
get.PD Man page
get.PD0 Man page
get.PD0,crp.CSFP-method Man page
get.PD,crp.CSFP-method Man page
get.PDF Man page
get.PDF,crp.CSFP-method Man page
get.PDVAR.NAME Man page
get.PDVAR.NAME,crp.CSFP-method Man page
get.PL Man page
get.PL0 Man page
get.PL0,crp.CSFP-method Man page
get.PL,crp.CSFP-method Man page
get.PLOT.PDF Man page
get.PLOT.PDF,crp.CSFP-method Man page
get.PLOT.RANGE.X Man page
get.PLOT.RANGE.X,crp.CSFP-method Man page
get.PLOT.RANGE.Y Man page
get.PLOT.RANGE.Y,crp.CSFP-method Man page
get.PLOT.SCALE Man page
get.PLOT.SCALE,crp.CSFP-method Man page
get.PORT.NAME Man page
get.PORT.NAME,crp.CSFP-method Man page
get.rating Man page
get.rating,crp.CSFP-method Man page
get.rating.PD Man page
get.rating.PD,crp.CSFP-method Man page
get.rating.SD Man page
get.rating.SD,crp.CSFP-method Man page
get.RISK.NAME Man page
get.RISK.NAME,crp.CSFP-method Man page
get.save.memory Man page
get.save.memory,crp.CSFP-method Man page
get.SD Man page
get.SD.CONT Man page
get.SD.CONT,crp.CSFP-method Man page
get.SD.crp Man page
get.SD.crp,crp.CSFP-method Man page
get.SD,crp.CSFP-method Man page
get.SEC.VAR Man page
get.SEC.VAR,crp.CSFP-method Man page
get.SEC.VAR.EST Man page
get.SEC.VAR.EST,crp.CSFP-method Man page
get.SELV Man page
get.SELV,crp.CSFP-method Man page
get.SIGMA2_DIV Man page
get.SIGMA2_DIV,crp.CSFP-method Man page
get.SIGMA2_SYST Man page
get.SIGMA2_SYST,crp.CSFP-method Man page
get.SIGMA.K Man page
get.SIGMA.K,crp.CSFP-method Man page
get.VaR Man page
get.VaR.CONT Man page
get.VaR.CONT,crp.CSFP-method Man page
get.VaR,crp.CSFP-method Man page
get.V.K Man page
get.V.K,crp.CSFP-method Man page
get.W Man page
get.W,crp.CSFP-method Man page
init Man page
integrity.check Man page
integrity.check,character,crp.CSFP-method Man page
integrity.check-methods Man page
LGD Man page
LGD<- Man page
LGD,crp.CSFP-method Man page
LGD<-,crp.CSFP,numeric-method Man page
LGD<--methods Man page
LGD-methods Man page
loss Man page
loss,crp.CSFP-method Man page
loss.dist Man page
loss.dist,crp.CSFP-method Man page
loss.dist-methods Man page
loss.k Man page
loss.k,crp.CSFP-method Man page
loss.k-methods Man page
loss-methods Man page
loss.unit Man page
loss.unit<- Man page
loss.unit,crp.CSFP-method Man page
loss.unit<-,crp.CSFP,numeric-method Man page
loss.unit<--methods Man page
loss.unit-methods Man page
M Man page
M,crp.CSFP-method Man page
measure Man page
measure,crp.CSFP-method Man page
measure-methods Man page
M-methods Man page
mu.k Man page
mu.k,crp.CSFP-method Man page
mu.k-methods Man page
name Man page
name<- Man page
name<-,crp.CSFP,character-method Man page
name,crp.CSFP-method Man page
name<--methods Man page
name-methods Man page
NC Man page
NC,crp.CSFP-method Man page
NC-methods Man page
NEX Man page
NEX<- Man page
NEX,crp.CSFP-method Man page
NEX<-,crp.CSFP,numeric-method Man page
NEX<--methods Man page
NEX-methods Man page
Niter.max Man page
Niter.max<- Man page
Niter.max,crp.CSFP-method Man page
Niter.max<-,crp.CSFP,numeric-method Man page
Niter.max<--methods Man page
Niter.max-methods Man page
NS Man page
NS,crp.CSFP-method Man page
NS-methods Man page
nu Man page
nu,crp.CSFP-method Man page
nu-methods Man page
path.in Man page
path.in<- Man page
path.in<-,crp.CSFP,character-method Man page
path.in,crp.CSFP-method Man page
path.in<--methods Man page
path.in-methods Man page
path.out Man page
path.out<- Man page
path.out<-,crp.CSFP,character-method Man page
path.out,crp.CSFP-method Man page
path.out<--methods Man page
path.out-methods Man page
PD Man page
PD.crp Man page
PD.crp,crp.CSFP-method Man page
PD,crp.CSFP-method Man page
PD.crp-methods Man page
PDF Man page
PDF,crp.CSFP-method Man page
PDF-methods Man page
PD-methods Man page
pd_sector_var Man page
PL Man page
plausi Man page
plausi,crp.CSFP-method Man page
plausi-methods Man page
PL.crp Man page
PL.crp,crp.CSFP-method Man page
PL,crp.CSFP-method Man page
PL.crp-methods Man page
PL-methods Man page
plot Man page
plot,crp.CSFP-method Man page
plot-methods Man page
PLOT.PDF Man page
PLOT.PDF<- Man page
PLOT.PDF<-,crp.CSFP,logical-method Man page
PLOT.PDF,crp.CSFP-method Man page
PLOT.PDF<--methods Man page
PLOT.PDF-methods Man page
PLOT.range.x Man page
PLOT.range.x<- Man page
PLOT.range.x,crp.CSFP-method Man page
PLOT.range.x<-,crp.CSFP,numeric-method Man page
PLOT.range.x<--methods Man page
PLOT.range.x-methods Man page
PLOT.range.y Man page
PLOT.range.y<- Man page
PLOT.range.y,crp.CSFP-method Man page
PLOT.range.y<-,crp.CSFP,numeric-method Man page
PLOT.range.y<--methods Man page
PLOT.range.y-methods Man page
PLOT.scale Man page
PLOT.scale<- Man page
PLOT.scale,crp.CSFP-method Man page
PLOT.scale<-,crp.CSFP,numeric-method Man page
PLOT.scale<--methods Man page
PLOT.scale-methods Man page
portfolio Man page
port.name Man page
port.name<- Man page
port.name<-,crp.CSFP,character-method Man page
port.name,crp.CSFP-method Man page
port.name<--methods Man page
port.name-methods Man page
rating Man page
rating<- Man page
rating,crp.CSFP-method Man page
rating<-,crp.CSFP,numeric-method Man page
rating<--methods Man page
rating-methods Man page
rating_pd Man page
rating.PD Man page
rating.PD<- Man page
rating.PD,crp.CSFP-method Man page
rating.PD<-,crp.CSFP,numeric-method Man page
rating.PD<--methods Man page
rating.PD-methods Man page
rating.scale.name Man page
rating.scale.name<- Man page
rating.scale.name<-,crp.CSFP,character-method Man page
rating.scale.name,crp.CSFP-method Man page
rating.scale.name<--methods Man page
rating.scale.name-methods Man page
rating.SD Man page
rating.SD<- Man page
rating.SD,crp.CSFP-method Man page
rating.SD<-,crp.CSFP,numeric-method Man page
rating.SD<--methods Man page
rating.SD-methods Man page
rc.sd Man page
rc.sd,crp.CSFP-method Man page
rc.sd-methods Man page
rc.vares Man page
rc.vares,crp.CSFP-method Man page
rc.vares-methods Man page
read Man page
read,crp.CSFP-method Man page
read-methods Man page
save.memory Man page
save.memory<- Man page
save.memory<-,crp.CSFP,logical-method Man page
save.memory,crp.CSFP-method Man page
save.memory<--methods Man page
save.memory-methods Man page
SD Man page
SD.cont Man page
SD.cont,crp.CSFP-method Man page
SD.cont-methods Man page
SD.crp Man page
SD.crp,crp.CSFP-method Man page
SD,crp.CSFP-method Man page
SD.crp-methods Man page
SD-methods Man page
sec.var Man page
sec.var<- Man page
sec.var,crp.CSFP-method Man page
sec.var<-,crp.CSFP,numeric-method Man page
sec.var.est Man page
sec.var.est<- Man page
sec.var.est,crp.CSFP-method Man page
sec.var.est<-,crp.CSFP,numeric-method Man page
sec.var.est<--methods Man page
sec.var.est-methods Man page
sec.var<--methods Man page
sec.var-methods Man page
sec.var.name Man page
sec.var.name<- Man page
sec.var.name<-,crp.CSFP,character-method Man page
sec.var.name,crp.CSFP-method Man page
sec.var.name<--methods Man page
sec.var.name-methods Man page
set.ALPHA<- Man page
set.ALPHA<-,crp.CSFP,numeric-method Man page
set.CALC.RISK.CONT<- Man page
set.CALC.RISK.CONT<-,crp.CSFP,logical-method Man page
set.changes Man page
set.changes,character,crp.CSFP-method Man page
set.changes-methods,character,crp.CSFP-method Man page
set.file.format<- Man page
set.file.format<-,crp.CSFP,character-method Man page
set.LOSS.UNIT<- Man page
set.LOSS.UNIT<-,crp.CSFP,numeric-method Man page
set.NAME<- Man page
set.NAME<-,crp.CSFP,character-method Man page
set.NITER.MAX<- Man page
set.NITER.MAX<-,crp.CSFP,numeric-method Man page
set.PATH.IN<- Man page
set.PATH.IN<-,crp.CSFP,character-method Man page
set.PATH.OUT<- Man page
set.PATH.OUT<-,crp.CSFP,character-method Man page
set.PDVAR.NAME<- Man page
set.PDVAR.NAME<-,crp.CSFP,character-method Man page
set.PLOT.PDF<- Man page
set.PLOT.PDF<-,crp.CSFP,logical-method Man page
set.PLOT.RANGE.X<- Man page
set.PLOT.RANGE.X<-,crp.CSFP,numeric-method Man page
set.PLOT.RANGE.Y<- Man page
set.PLOT.RANGE.Y<-,crp.CSFP,numeric-method Man page
set.PLOT.SCALE<- Man page
set.PLOT.SCALE<-,crp.CSFP,numeric-method Man page
set.PORT.NAME<- Man page
set.PORT.NAME<-,crp.CSFP,character-method Man page
set.RISK.NAME<- Man page
set.RISK.NAME<-,crp.CSFP,character-method Man page
set.save.memory<- Man page
set.save.memory<-,crp.CSFP,logical-method Man page
set.SEC.VAR.EST<- Man page
set.SEC.VAR.EST<-,crp.CSFP,numeric-method Man page
show Man page
show,crp.CSFP-method Man page
show-methods Man page
sigma_k Man page
sigma.k Man page
sigma_k,crp.CSFP-method Man page
sigma.k,crp.CSFP-method Man page
sigma_k-methods Man page
sigma.k-methods Man page
sigma_sqr_div Man page
sigma.sqr.div Man page
sigma_sqr_div,crp.CSFP-method Man page
sigma.sqr.div,crp.CSFP-method Man page
sigma_sqr_div-methods Man page
sigma.sqr.div-methods Man page
sigma_sqr_syst Man page
sigma.sqr.syst Man page
sigma_sqr_syst,crp.CSFP-method Man page
sigma.sqr.syst,crp.CSFP-method Man page
sigma_sqr_syst-methods Man page
sigma.sqr.syst-methods Man page
summary Man page
summary,crp.CSFP-method Man page
summary-methods Man page
VaR Man page
VaR.cont Man page
VaR.cont,crp.CSFP-method Man page
VaR.cont-methods Man page
VaR,crp.CSFP-method Man page
VaR-methods Man page
VaR.pos Man page
VaR.pos,crp.CSFP-method Man page
VaR.pos-methods Man page
W Man page
W<- Man page
W,crp.CSFP-method Man page
W<-,crp.CSFP,numeric-method Man page
W<--methods Man page
W-methods Man page
write.summary Man page
write.summary,crp.CSFP-method Man page
write.summary-methods Man page

Files

NAMESPACE
data
data/portfolio.csv
data/pd_sector_var.csv
data/rating_pd.csv
R
R/crpCSFPclass.r R/other_functions.r
MD5
DESCRIPTION
man
man/read-methods.Rd man/summary-methods.Rd man/loss.k-methods.Rd man/rating.scale.name_--methods.Rd man/crp.CSFP-class.Rd man/a-methods.Rd man/PL-methods.Rd man/plot.range.x_--methods.Rd man/changes.plausi-methods.Rd man/alpha.max_--methods.Rd man/rating-methods.Rd man/sigma_k-methods.Rd man/rating_--methods.Rd man/ES-methods.Rd man/EL-methods.Rd man/CP.rating_--methods.Rd man/sec.var.name_--methods.Rd man/CDF-methods.Rd man/init.Rd man/plot.scale_--methods.Rd man/path.in-methods.Rd man/plot-methods.Rd man/save.memory_--methods.Rd man/VaR-methods.Rd man/changes.calc.portfolio.statistics-methods.Rd man/integrity.check-methods.Rd man/changes.read-methods.Rd man/changes.export-methods.Rd man/CP.NR_--methods.Rd man/crp.CSFP-package.Rd man/calc.portfolio.statistics-methods.Rd man/CP.NR-methods.Rd man/NC-methods.Rd man/NEX_--methods.Rd man/path.in_--methods.Rd man/plot.range.x-methods.Rd man/nu-methods.Rd man/sec.var-methods.Rd man/name-methods.Rd man/PDF-methods.Rd man/pd_sector_var.Rd man/rating_pd.Rd man/SD.cont-methods.Rd man/alpha.max-methods.Rd man/loss.dist-methods.Rd man/plot.range.y_--methods.Rd man/ES.tau.cont-methods.Rd man/alpha-methods.Rd man/name_--methods.Rd man/PD.crp-methods.Rd man/save.memory-methods.Rd man/sigma_sqr_syst-methods.Rd man/calc.rc-methods.Rd man/path.out-methods.Rd man/mu.k-methods.Rd man/W_--methods.Rd man/fo.Rd man/export.to.file-methods.Rd man/plot.scale-methods.Rd man/crp.round.Rd man/SD.crp-methods.Rd man/sec.var.name-methods.Rd man/calc.rc_--methods.Rd man/changes.loss-methods.Rd man/Niter.max-methods.Rd man/path.out_--methods.Rd man/ES.cont-methods.Rd man/rc.sd-methods.Rd man/VaR.pos-methods.Rd man/rating.SD-methods.Rd man/EL.crp-methods.Rd man/rating.scale.name-methods.Rd man/export-methods.Rd man/measure-methods.Rd man/loss-methods.Rd man/rc.vares-methods.Rd man/NEX-methods.Rd man/alpha.crp-methods.Rd man/NS-methods.Rd man/W-methods.Rd man/LGD_--methods.Rd man/plausi-methods.Rd man/plot.PDF_--methods.Rd man/sigma_sqr_div-methods.Rd man/CP.rating-methods.Rd man/rating.PD_--methods.Rd man/B-methods.Rd man/port.name_--methods.Rd man/changes.measure-methods.Rd man/sec.var.est-methods.Rd man/changes.rc.vares-methods.Rd man/write.summary-methods.Rd man/Niter.max_--methods.Rd man/loss.unit-methods.Rd man/plot.PDF-methods.Rd man/PD-methods.Rd man/sec.var.est_--methods.Rd man/export.to.file_--methods.Rd man/changes.rc.sd-methods.Rd man/EC-methods.Rd man/plot.range.y-methods.Rd man/LGD-methods.Rd man/alpha_--methods.Rd man/M-methods.Rd man/VaR.cont-methods.Rd man/rating.PD-methods.Rd man/rating.SD_--methods.Rd man/crp.CSFP.Rd man/loss.unit_--methods.Rd man/set.changes-methods.Rd man/SD-methods.Rd man/portfolio.Rd man/port.name-methods.Rd man/sec.var_--methods.Rd man/file.format-methods.Rd man/changes.plot-methods.Rd man/show-methods.Rd man/PL.crp-methods.Rd man/file.format_--methods.Rd
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