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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.

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Version

Install

install.packages('CreditRisk')

Monthly Downloads

230

Version

0.1.7

License

MIT + file LICENSE

Maintainer

Alessandro Cimarelli

Last Published

April 19th, 2024

Functions in CreditRisk (0.1.7)

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