RDocumentation
Moon
Learn R
Search all packages and functions
CreditRisk (version 0.1.7)
Evaluation of Credit Risk with Structural and Reduced Form Models
Description
Evaluation of default probability of sovereign and corporate entities based on structural or intensity based models and calibration on market Credit Default Swap quotes. References: Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013)
. Print ISBN: 9780470748466, Online ISBN: 9781118818589. © 2013 John Wiley & Sons Ltd.
Copy Link
Copy
Link to current version
Version
Version
0.1.7
0.1.3
0.1.1
0.1.0
Down Chevron
Install
install.packages('CreditRisk')
Monthly Downloads
32
Version
0.1.7
License
MIT + file LICENSE
Maintainer
Alessandro Cimarelli
Last Published
April 19th, 2024
Functions in CreditRisk (0.1.7)
Search functions
Merton
Merton's model
calibrate.cds
Calibrate the default intensities to market CDS data
Merton.sim
Firm value in Merton's model
calibrate.BlackCox
Black and Cox model calibration to market CDS data
BlackCox
Black and Cox's model
cds2
Calculate Credit Default Swap rates
calibrate.at1p
AT1P model calibration to market CDS data
at1p
Analytically - Tractable First Passage (AT1P) model
cds
Calculates Credit Default Swap rates
calibrate.sbtv
SBTV model calibration to market CDS data
cum_normal_density
Cumulative Normal Distribution Function
generalized_black_scholes
Generalized Black-Scholes Option Pricing Model
cdsdata
CDS quotes from market
sbtv
Scenario Barrier Time-Varying Volatility AT1P model