EC.cont-methods

EC.cont

EC.cont,GCPM-method

EC.cont,GCPM,numeric-method

this

numeric vector of loss levels between 0 and 1

alpha


Calculate contributions to the economic capital on portfolio level for each
portfolio position. In case of a simulative model, the risk contributions are
calculated as contributions to expected shortfall on a lower loss level
$\tau$, such that ES($\tau$) is as close as possible to EC($\alpha$).
Furthermore, in case of a simulative model, loss scenarios above a predefined
threshold (<code>loss.thr</code>) are analyzed in order to calculate the risk
contributions. If <code>loss.thr</code> is too high (depending on value of <code>alpha</code>)
the calculation will be not possible.


methods

Analyze the default risk of credit portfolios. Commonly known models,
like CreditRisk+ or the CreditMetrics model are implemented in their very basic settings.
The portfolio loss distribution can be achieved either by simulation or analytically
in case of the classic CreditRisk+ model. Models are only implemented to respect losses
caused by defaults, i.e. migration risk is not included. The package structure is kept
flexible especially with respect to distributional assumptions in order to quantify the
sensitivity of risk figures with respect to several assumptions. Therefore the package
can be used to determine the credit risk of a given portfolio as well as to quantify
model sensitivities.

EC.cont-methods: Risk Contributions to Economic Capital

Description

Usage

Arguments

Value

See Also