Man pages for crp.CSFP
CreditRisk+ Portfolio Model
| 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 |
