sigma.sqr.syst

get.SIGMA2_SYST

get.SIGMA2_SYST,crp.CSFP-method

sigma.sqr.syst-methods

sigma.sqr.syst,crp.CSFP-method

sigma_sqr_syst

sigma_sqr_syst-methods

sigma_sqr_syst,crp.CSFP-method


The method returns the value of <code>sigma_sqr_syst</code> (already squared) as numeric.
The variable/method was renamed from <code>sigma.sqr.syst</code> to <code>sigma_sqr_syst</code> for S3 compatibility.

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

sigma.sqr.syst function

Get the systematik risk of the model

sigma.sqr.syst: Get the systematik risk of the model

Description

Arguments