⚠️There's a newer version (0.1.7) of this package.Take me there.
CreditRisk (version 0.1.3)
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".