alpha.crp

get.ALPHA.crp

get.ALPHA.crp,crp.CSFP-method

alpha.crp-methods

alpha.crp,crp.CSFP-method


The method returns the value of <code>alpha.crp</code> as numeric. These are different from the desired CDF levels <code>alpha</code> because the CDF is not continous.


methods

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

Kevin Jakob

crp.CSFP

CreditRisk+ Portfolio Model

alpha.crp function

Get the maximum cdf levels for VaR of the model.

alpha.crp: Get the maximum cdf levels for VaR of the model.

Description

Arguments