measure-methods: Calculating portfolio measures
In crp.CSFP: CreditRisk+ Portfolio Model
Description
This method calculates key numbers from the discrete loss distribution, such as expected loss EL.crp, standard deviation SD.crp, value at risk VaR and expected shortfall ES to the given levels in alpha, prints them on the screen and uses write.summary to write them - together with the input parameter - to the output directory.
See Also
crp.CSFP documentation built on May 1, 2019, 8:50 p.m.
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Description
This method calculates key numbers from the discrete loss distribution, such as expected loss EL.crp, standard deviation SD.crp, value at risk VaR and expected shortfall ES to the given levels in alpha, prints them on the screen and uses write.summary to write them - together with the input parameter - to the output directory.
See Also
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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