Package: CreditRisk 0.1.7
Alessandro Cimarelli
CreditRisk: Evaluation of Credit Risk with Structural and Reduced Form Models
Evaluation of default probability of sovereign and corporate entities based on structural or intensity based models and calibration on market Credit Default Swap quotes. References: Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013) <doi:10.1002/9781118818589>. Print ISBN: 9780470748466, Online ISBN: 9781118818589. © 2013 John Wiley & Sons Ltd.
Authors:
CreditRisk_0.1.7.tar.gz
CreditRisk_0.1.7.tar.gz(r-4.5-noble)CreditRisk_0.1.7.tar.gz(r-4.4-noble)
CreditRisk_0.1.7.tgz(r-4.4-emscripten)CreditRisk_0.1.7.tgz(r-4.3-emscripten)
CreditRisk.pdf |CreditRisk.html✨
CreditRisk/json (API)
| # Install 'CreditRisk' in R: |
| install.packages('CreditRisk', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
- cdsdata - CDS quotes from market
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 8 months agofrom:10fc2789e6. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Dec 16 2024 |
| R-4.5-linux | OK | Dec 16 2024 |
Exports:at1pBlackCoxcalibrate.at1pcalibrate.BlackCoxcalibrate.cdscalibrate.sbtvcdscds2cum_normal_densitygeneralized_black_scholesMertonMerton.simsbtv
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Analytically - Tractable First Passage (AT1P) model | at1p |
| Black and Cox's model | BlackCox |
| AT1P model calibration to market CDS data | calibrate.at1p |
| Black and Cox model calibration to market CDS data | calibrate.BlackCox |
| Calibrate the default intensities to market CDS data | calibrate.cds |
| SBTV model calibration to market CDS data | calibrate.sbtv |
| Calculates Credit Default Swap rates | cds |
| Calculate Credit Default Swap rates | cds2 |
| CDS quotes from market | cdsdata |
| Cumulative Normal Distribution Function | cum_normal_density |
| Generalized Black-Scholes Option Pricing Model | generalized_black_scholes |
| Merton's model | Merton |
| Firm value in Merton's model | Merton.sim |
| Scenario Barrier Time-Varying Volatility AT1P model | sbtv |