export-methods

export

export,GCPM-method

export,GCPM,character,character,numeric-method

export,GCPM,character,character,missing-method

export,GCPM,character,missing,numeric-method

export,GCPM,character,missing,missing-method

export,GCPM,missing,character,numeric-method

export,GCPM,missing,missing,numeric-method

export,GCPM,missing,missing,missing-method

export,GCPM,missing,character,missing-method

this

path.out

string specifying the file format (i.e &#147;csv1&#148; or
  &#147;csv2&#148;)

file.format

numeric vector with loss levels between 0 and 1

alpha


This method provides an easy way to export the main results of the portfolio
(i.e. after running <code>analyze</code>). A summary file and the portfolio loss
distribution (PDF and CDF) are exported to <code>path.out</code>. With the help of
<code>file.format</code> one can specify the csv format (&#147;csv1&#148; or
&#147;csv2&#148;). If a vector <code>alpha</code> of loss levels is specified,
risk contributions to EC, VaR and ES are also exported according to level(s)
<code>alpha</code>.

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.

export-methods: Export Main Results

Description

Usage

Arguments