crp.CSFP (2.0)

CreditRisk+ portfolio model.

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

Maintainer: Kevin Jakob
Author(s): Kevin Jakob, Dr. Matthias Fischer & Stefan Kolb

License: GPL-2

Uses: Does not use any package

Released about 6 years ago.