plot-methods

plot

plot,ANY-method

plot,GCPM-method

plot unit for losses (x-axis), default value = 1

Further arguments such as: 
        <code>alpha</code> If provided vertical lines are added, representing value 
        at risk and expected shortfall on level(s) <code>alpha</code> or 
        <code>nbins</code> number of supporting points, default value = 100
  


Plot of the estimated pdf of the portfolio loss distribution.


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.

plot-methods: Plot of the Portfolio Loss Distribution

Description

Usage

Arguments