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CreditMetrics (version 0.0-2)
Functions for calculating the CreditMetrics risk model
Description
A set of functions for computing the CreditMetrics risk model
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Version
0.0-2
0.0-1
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Install
install.packages('CreditMetrics')
Monthly Downloads
53
Version
0.0-2
License
Unlimited
Maintainer
Andreas Wittmann
Last Published
January 2nd, 2007
Functions in CreditMetrics (0.0-2)
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cm.ref
Computation of reference value
cm.val
Valuation for the credit positions of each scenario
cm.rnorm.cor
Computation of correlated standard normal distributed random numbers
cm.hist
Profit / Loss Distribution histogram
cm.state
Computation of state space
cm.rnorm
Computation of standard normal distributed random numbers
cm.matrix
Testing for migration matrix
cm.gain
Computation of simulated profits and losses
cm.CVaR
Computation of the Credit Value at Risk (CVaR)
cm.cs
Computation of credit spreads
cm.portfolio
Computation of simulated portfolio values
cm.quantile
Computation of migration quantils