SD.analyt-methods

SD.analyt

SD.analyt,GCPM-method

this


Get the value of <code>SD.analyt</code>, the portfolio standard deviation derived 
from the portfolio data (see <code><a rd-options="" href="/link/GCPM-class?package=GCPM&version=1.2.2" data-mini-rdoc="GCPM::GCPM-class">GCPM-class</a></code>). This value is only 
available in case of an analytical model. 


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

SD.analyt-methods function


Get the value of <code>SD.analyt</code>, the portfolio standard deviation derived 
from the portfolio data (see <code><a rd-options='' href='GCPM-class'>GCPM-class</a></code>). This value is only 
available in case of an analytical model. 


SD.analyt-methods: Standard Deviation (from Portfolio Data)

Description

Usage

Arguments

Value