loss.dist-methods: Calculating the loss distribution
In crp.CSFP: CreditRisk+ Portfolio Model
Description
This method uses an algorithm from Gundlach/Lehrbass p.74f to compute the loss distribution. A small modification on the structure of the two loops was done to compute the CDF parallel to the PDF and stop if a desired level is reached.
Data a and B (corresponding to alpha and b in Gundlach/Lehrbass p.74), necessary for risk contributions, will be erased at the end if calc.rc=FALSE and save.memory=TRUE.
See Also
rc.vares,
crp.CSFP-class,
crp.CSFP,
crp.CSFP documentation built on May 1, 2019, 8:50 p.m.
R Package Documentation
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Description
This method uses an algorithm from Gundlach/Lehrbass p.74f to compute the loss distribution. A small modification on the structure of the two loops was done to compute the CDF parallel to the PDF and stop if a desired level is reached.
Data a and B (corresponding to alpha and b in Gundlach/Lehrbass p.74), necessary for risk contributions, will be erased at the end if calc.rc=FALSE and save.memory=TRUE.
See Also
rc.vares,
crp.CSFP-class,
crp.CSFP,
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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