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CreditRisk (version 0.1.0)

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. Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013): "Counterparty Credit Risk, Collateral and Funding. With Pricing Cases for All Asset Classes".

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Version

Install

install.packages('CreditRisk')

Monthly Downloads

186

Version

0.1.0

License

MIT + file LICENSE

Maintainer

Alessandro Cimarelli

Last Published

September 12th, 2017

Functions in CreditRisk (0.1.0)

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