crp.CSFP-package: CreditRisk+ Portfolio Model

Description Details Author(s) References See Also


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


The package provides the opportunity to analyze a given credit portfolio on a very simple level. Key numbers, that can be calculated are the expected loss, standard deviation, value at risk and expected shortfall on any confidence level, as well as risk contributions to them on counterparty level. The results (i.e. the loss distribution) are achieved by an analytical approach. Therefore a lot of theoretical assumptions are necessary. So please make yourself familiar with the framework of this model given in "CreditRisk+", First Boston Financial Products, 1997, before using it.

Package: crp.CSFP
Type: Package
Version: 2.0.2
Date: 2016-09-09
License: GPL-2?
Imports: methods, MASS, utils, graphics

For first use have a look at crp.CSFP-class, crp.CSFP or init


Kevin Jakob & Dr. Matthias Fischer

Maintainer: Kevin Jakob <>


First Boston Financial Products, "CreditRisk+", 1997
Gundlach & Lehrbass, "CreditRisk+ in the Banking Industry", Springer, 2003

See Also

crp.CSFP-class crp.CSFP crp.init

crp.CSFP documentation built on May 1, 2019, 8:50 p.m.