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.

Package details

AuthorKevin Jakob, Dr. Matthias Fischer & Stefan Kolb
MaintainerKevin Jakob <>
Package repositoryView on CRAN
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crp.CSFP documentation built on May 1, 2019, 8:50 p.m.