rc.sd

crp.CSFP.rc.sd

crp.CSFP.rc.sd,crp.CSFP-method

rc.sd-methods

rc.sd,crp.CSFP-method


This method calculates the contributions on counterparty level to the portfolio standard deviation. No data out of <code>loss.dist</code> are required.


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.

Kevin Jakob

crp.CSFP

CreditRisk+ Portfolio Model

rc.sd function

Calculating risk contributions to standard deviation

rc.sd: Calculating risk contributions to standard deviation

Description

Arguments

See Also