CreditRisk (0.1.1)

0 users

Evaluation of Credit Risk with Structural and Reduced Form Models.

http://cran.r-project.org/web/packages/CreditRisk

Evaluation of default probability of sovereign and corporate entities based on structural or intensity based models and calibration on market Credit Default Swap quotes. Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013): "Counterparty Credit Risk, Collateral and Funding. With Pricing Cases for All Asset Classes".

Maintainer: Alessandro Cimarelli
Author(s): Alessandro Cimarelli <alessandro.cimarelli@icloud.com> [anl, aut, cre] Nicol Manca <n.manca1992@gmail.com> [anl, aut, cre]

License: MIT + file LICENSE

Uses: fOptions, testthat

Released about 1 month ago.


1 previous version

Ratings

Overall:

  (0 votes)

Documentation:

  (0 votes)

Log in to vote.

Reviews

No one has written a review of CreditRisk yet. Want to be the first? Write one now.


Related packages:(20 best matches, based on common tags.)


Search for CreditRisk on google, google scholar, r-help, r-devel.

Visit CreditRisk on R Graphical Manual.