CreditRisk v0.1.0
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Evaluation of Credit Risk with Structural and Reduced Form Models
Evaluation of default probability of sovereign and corporate entities based on structural or intensity based models and calibration on market Credit Default Swap quotes. Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013): "Counterparty Credit Risk, Collateral and Funding. With Pricing Cases for All Asset Classes".
Functions in CreditRisk
| Name | Description | |
| BlackCox | Black and Cox's model | |
| Merton | Merton's model | |
| calibrate.cds | Calibrate the default intensities to market CDS data | |
| calibrate.sbtv | SBTV model calibration to market CDS data | |
| cdsdata | CDS quotes from market | |
| sbtv | Scenario Barrier Time-Varying Volatility AT1P model | |
| calibrate.BlackCox | Black and Cox model calibration to market CDS data | |
| calibrate.at1p | AT1P model calibration to market CDS data | |
| Merton.sim | Firm value in Merton's model | |
| at1p | Analytically - Tractable First Passage (AT1P) model | |
| cds | Calculates Credit Default Swap rates | |
| cds2 | Calculate Credit Default Swap rates | |
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Details
| Type | Package |
| Date | 2017-09-01 |
| License | MIT + file LICENSE |
| Encoding | UTF-8 |
| LazyData | true |
| RoxygenNote | 6.0.1 |
| NeedsCompilation | no |
| Packaged | 2017-09-12 15:48:29 UTC; amministratore |
| Repository | CRAN |
| Date/Publication | 2017-09-12 18:06:03 UTC |
| imports | fOptions , stats |
| suggests | testthat |
| Contributors | Alessandro Cimarelli |
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[](http://www.rdocumentation.org/packages/CreditRisk)