loss.dist

crp.CSFP.loss

crp.CSFP.loss,crp.CSFP-method

loss.dist-methods

loss.dist,crp.CSFP-method


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 <code>a</code> and <code>B</code> (corresponding to alpha and b in Gundlach/Lehrbass p.74), necessary for risk contributions, will be erased at the end if <code>calc.rc</code>=FALSE and <code>save.memory</code>=TRUE.


methods

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

loss.dist: Calculating the loss distribution

Description

Arguments

See Also