Get the parameter a
of the model.
Get the desired VaR level of the model.
Set the cdf level(s) for VaR
Get the value of the calc.rc
Get the maximum cdf levels for VaR of the model.
Get the parameter B
of the model.
Set the state of calc.rc
Get the state of changes.measure
Get the state of changes.plausi
Get the state of changes.export
Get the state of changes.loss
Get the state of changes.plot
Get the CDF of the model
changes.calc.portfolio.statistics
Get the state of changes.calc.portfolio.statistics
.
Get the state of changes.rc.sd
Get the state of changes.read
Get the state of changes.rc.vares
Get the economic capital of the model
Class "crp.CSFP"
CreditRisk+ Portfolio Model
Get the expected loss of the model
Set counterparties ratings
Get counterparties ratings
Get the ID numbers of the counterparties of the model
Set the ID numbers of the counterparties in the model
Rounding numerical values
Main routine for CSFP-model
Export risk contributions and loss distribution
Set the state of export to file
Set the file format
Get the status of export.to.file
Function to convert numerical output.
Get the expected loss of the model after discretization.
Get the file format of the model
Get the expected shortfall of the model
Get the expected shortfall contributions
Get the corresponding tau for expected shortfall contributions
Get the several losses (exposure bands) of the model
Calculating the loss distribution
Set the counterparty specific LGDs
Get the loss given defaults of the model
Initializing a new entity of class crp.CSFP
Get the expected loss per sector
Set the loss unit
Internal method to ensure model integrity
Get the loss unit of the model
Get the number of iterations for loss distribution
Get the net exposure per counterparty
Set the maximal number of iterations or desired cdf level
Get the input path of the model
Set output path
Checking input data for plausibility
Get the discrete losses of the model
Get the potetnial losses per counterparty after discretization
Set input path
Get the plot range for probabilities
Set the plot scale for portfolio losses
Get the plot scale for losses
Set the name for the portfolio file
Get the standard deviation of the model
Get the contributions to standard deviation
Get the sector standard deviation
Show summary of object crp.CSFP
Set the sector weights of counterparties
Get the sector weights of counterparties
Calculating portfolio measures
Get the expected number of defauls per sector
Set the rating classes of the model
Risk matrix for the Credit Suisse example portfolio
Calculating risk contributions to VaR and ES
Reading the input files
Set self estimated sector variances
Get the discretized standard deviation of loss distribution
Summarize portfolio key numbers
Get the maximum cdf level for loss distribution
Get the value at risk of the model
Set the maximal desired cdf level
Set the standard deviations corresponding to rating classes
Get the name of the file containing the risk matrix of the model
Set the name of the model
Get the name of the model
Sector variances for the Credit Suisse example portfolio
Get the output path of the model
Get the plot range for losses
Set the plot range for the probabilities
Get the PDs of rating classes
Set the name for the file containing the rating scale
Set the name of the file with the sector variances
Get the mode for sector variance estimation
Get the number of counterparties in the model
Set the net exposure per counterparty
Get the PDF of the model
Get the state of PLOT.PDF
Get the potetnial losses per counterparty
Set the plot range for the losses
Set the PDs for rating classes
Get the rating classes of the model
Set the state of save.memory
calc.portfolio.statistics
Calculating portfolio statistics
Get the state of save.memory
Get the desired number of iterations or cdf level for loss distribution
Get the number of sectors of the model
Plotting the PDF
Get the counterparty probabilities of default after discretization
Get the counterparty probabilities of default of the model
Get the name of the portfolio file
Set the state of PLOT.PDF
Get the standard deviations corresponding to rating classes
Portfolio data for the Credit Suisse example portfolio
Set the name of the file with the sector variances
Internal method for model integrity
Writing summary to file
Get the value at risk contributions on counterparty level
Calculating risk contributions to standard deviation
Get the position of value at risk in CDF
Get self estimated sector variances
Set the mode for sector variance estimation
Get the systematik risk of the model
Get the diversifiable risk of the model