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crp.CSFP (version 2.0.2)

CreditRisk+ Portfolio Model

Description

Modelling credit risks based on the concept of "CreditRisk+", First Boston Financial Products, 1997 and "CreditRisk+ in the Banking Industry", Gundlach & Lehrbass, Springer, 2003.

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Version

Install

install.packages('crp.CSFP')

Monthly Downloads

6

Version

2.0.2

License

GPL-2

Maintainer

Kevin Jakob

Last Published

September 11th, 2016

Functions in crp.CSFP (2.0.2)

a

Get the parameter a of the model.
alpha

Get the desired VaR level of the model.
alpha<-

Set the cdf level(s) for VaR
calc.rc<-

Get the value of the calc.rc
alpha.crp

Get the maximum cdf levels for VaR of the model.
B

Get the parameter B of the model.
calc.rc

Set the state of calc.rc
changes.measure

Get the state of changes.measure
changes.plausi

Get the state of changes.plausi
changes.export

Get the state of changes.export
changes.loss

Get the state of changes.loss
changes.plot

Get the state of changes.plot
CDF

Get the CDF of the model
changes.calc.portfolio.statistics

Get the state of changes.calc.portfolio.statistics.
changes.rc.sd

Get the state of changes.rc.sd
changes.read

Get the state of changes.read
changes.rc.vares

Get the state of changes.rc.vares
EC

Get the economic capital of the model
crp.CSFP-class

Class "crp.CSFP"
crp.CSFP-package

CreditRisk+ Portfolio Model
EL

Get the expected loss of the model
CP.rating<-

Set counterparties ratings
CP.rating

Get counterparties ratings
CP.NR

Get the ID numbers of the counterparties of the model
CP.NR<-

Set the ID numbers of the counterparties in the model
crp.round

Rounding numerical values
crp.CSFP

Main routine for CSFP-model
export

Export risk contributions and loss distribution
export.to.file<-

Set the state of export to file
file.format<-

Set the file format
export.to.file

Get the status of export.to.file
fo

Function to convert numerical output.
EL.crp

Get the expected loss of the model after discretization.
file.format

Get the file format of the model
ES

Get the expected shortfall of the model
ES.cont

Get the expected shortfall contributions
ES.tau.cont

Get the corresponding tau for expected shortfall contributions
loss

Get the several losses (exposure bands) of the model
loss.dist

Calculating the loss distribution
LGD<-

Set the counterparty specific LGDs
LGD

Get the loss given defaults of the model
init

Initializing a new entity of class crp.CSFP
loss.k

Get the expected loss per sector
loss.unit<-

Set the loss unit
integrity.check

Internal method to ensure model integrity
loss.unit

Get the loss unit of the model
M

Get the number of iterations for loss distribution
NEX

Get the net exposure per counterparty
Niter.max<-

Set the maximal number of iterations or desired cdf level
path.in

Get the input path of the model
path.out<-

Set output path
plausi

Checking input data for plausibility
nu

Get the discrete losses of the model
PL.crp

Get the potetnial losses per counterparty after discretization
path.in<-

Set input path
PLOT.range.y

Get the plot range for probabilities
PLOT.scale<-

Set the plot scale for portfolio losses
PLOT.scale

Get the plot scale for losses
port.name<-

Set the name for the portfolio file
SD

Get the standard deviation of the model
SD.cont

Get the contributions to standard deviation
sigma_k

Get the sector standard deviation
show

Show summary of object crp.CSFP
W<-

Set the sector weights of counterparties
W

Get the sector weights of counterparties
measure

Calculating portfolio measures
mu.k

Get the expected number of defauls per sector
rating<-

Set the rating classes of the model
rating_pd

Risk matrix for the Credit Suisse example portfolio
rc.vares

Calculating risk contributions to VaR and ES
read

Reading the input files
sec.var<-

Set self estimated sector variances
SD.crp

Get the discretized standard deviation of loss distribution
summary

Summarize portfolio key numbers
alpha.max

Get the maximum cdf level for loss distribution
VaR

Get the value at risk of the model
alpha.max<-

Set the maximal desired cdf level
rating.SD<-

Set the standard deviations corresponding to rating classes
rating.scale.name

Get the name of the file containing the risk matrix of the model
name<-

Set the name of the model
name

Get the name of the model
pd_sector_var

Sector variances for the Credit Suisse example portfolio
path.out

Get the output path of the model
PLOT.range.x

Get the plot range for losses
PLOT.range.y<-

Set the plot range for the probabilities
rating.PD

Get the PDs of rating classes
rating.scale.name<-

Set the name for the file containing the rating scale
sec.var.name<-

Set the name of the file with the sector variances
sec.var.est

Get the mode for sector variance estimation
NC

Get the number of counterparties in the model
NEX<-

Set the net exposure per counterparty
PDF

Get the PDF of the model
PLOT.PDF

Get the state of PLOT.PDF
PL

Get the potetnial losses per counterparty
PLOT.range.x<-

Set the plot range for the losses
rating.PD<-

Set the PDs for rating classes
rating

Get the rating classes of the model
save.memory<-

Set the state of save.memory
calc.portfolio.statistics

Calculating portfolio statistics
save.memory

Get the state of save.memory
Niter.max

Get the desired number of iterations or cdf level for loss distribution
NS

Get the number of sectors of the model
plot

Plotting the PDF
PD.crp

Get the counterparty probabilities of default after discretization
PD

Get the counterparty probabilities of default of the model
port.name

Get the name of the portfolio file
PLOT.PDF<-

Set the state of PLOT.PDF
rating.SD

Get the standard deviations corresponding to rating classes
portfolio

Portfolio data for the Credit Suisse example portfolio
sec.var.name

Set the name of the file with the sector variances
set.changes

Internal method for model integrity
write.summary

Writing summary to file
VaR.cont

Get the value at risk contributions on counterparty level
rc.sd

Calculating risk contributions to standard deviation
VaR.pos

Get the position of value at risk in CDF
sec.var

Get self estimated sector variances
sec.var.est<-

Set the mode for sector variance estimation
sigma.sqr.syst

Get the systematik risk of the model
sigma_sqr_div

Get the diversifiable risk of the model