CreditRisk v0.1.3


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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
calibrate.cds Calibrate the default intensities to market CDS data
calibrate.sbtv SBTV model calibration to market CDS data
BlackCox Black and Cox's model
Merton Merton's model
Merton.sim Firm value in Merton's model
at1p Analytically - Tractable First Passage (AT1P) model
calibrate.BlackCox Black and Cox model calibration to market CDS data
calibrate.at1p AT1P model calibration to market CDS data
cds Calculates Credit Default Swap rates
cds2 Calculate Credit Default Swap rates
cdsdata CDS quotes from market
sbtv Scenario Barrier Time-Varying Volatility AT1P model
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Type Package
Date 2017-09-01
License MIT + file LICENSE
Encoding UTF-8
LazyData true
RoxygenNote 6.0.1
NeedsCompilation no
Packaged 2018-01-20 16:55:45 UTC; amministratore
Repository CRAN
Date/Publication 2018-01-21 17:10:42 UTC

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