sigma.sqr.div

get.SIGMA2_DIV

get.SIGMA2_DIV,crp.CSFP-method

sigma.sqr.div-methods

sigma.sqr.div,crp.CSFP-method

sigma_sqr_div

sigma_sqr_div-methods

sigma_sqr_div,crp.CSFP-method


The method returns the value of <code>sigma_sqr_div</code> (already squared) as numeric.
The variable/method was renamed from <code>sigma.sqr.div</code> to <code>sigma_sqr_div</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_div function

Get the diversifiable risk of the model

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sigma_sqr_div: Get the diversifiable risk of the model

Description

Arguments

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Description

Arguments

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