crp.CSFP-package: CreditRisk+ Portfolio Model

In crp.CSFP: CreditRisk+ Portfolio Model

Description

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

Details

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

Author(s)

Kevin Jakob & Dr. Matthias Fischer

Maintainer: Kevin Jakob <[e-mail]>

References

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.