EL-methods

EL,GCPM-method

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Get the expected loss (EL) calculated from the portfolio loss distribution.
Because of the discretization and/or simulation errors, this is not equal to
the analytical EL (see <code><a rd-options="" href="/link/EL.analyt?package=GCPM&version=1.2.2" data-mini-rdoc="GCPM::EL.analyt">EL.analyt</a></code>). Please also note, that in case
of a simulative model (with Bernoulli default distribution) of the CreditRisk+
type the simulated EL tends to be smaller than the analytical one because the
conditional PD $\overline{PD}=PD\cdot (w^Tx)$ has to be truncated (if $\overline{PD}>1$).


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.

Kevin Jakob

GCPM

Generalized Credit Portfolio Model

EL-methods function


Get the expected loss (EL) calculated from the portfolio loss distribution.
Because of the discretization and/or simulation errors, this is not equal to
the analytical EL (see <code><a rd-options='' href='EL.analyt'>EL.analyt</a></code>). Please also note, that in case
of a simulative model (with Bernoulli default distribution) of the CreditRisk+
type the simulated EL tends to be smaller than the analytical one because the
conditional PD $\overline{PD}=PD\cdot (w^Tx)$ has to be truncated (if $\overline{PD}>1$).


EL-methods: Expected Loss (from Loss Distribution)

Description

Usage

Arguments

Value

See Also