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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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Install

install.packages('CreditMetrics')

Monthly Downloads

9

Version

0.0-2

License

Unlimited

Maintainer

Andreas Wittmann

Last Published

February 15th, 2017

Functions in CreditMetrics (0.0-2)

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