Package: GCPM 1.2.2

Kevin Jakob

GCPM: Generalized Credit Portfolio Model

Analyze the default risk of credit portfolios. Commonly known models, like CreditRisk+ or the CreditMetrics model are implemented in their very basic settings. The portfolio loss distribution can be achieved either by simulation or analytically in case of the classic CreditRisk+ model. Models are only implemented to respect losses caused by defaults, i.e. migration risk is not included. The package structure is kept flexible especially with respect to distributional assumptions in order to quantify the sensitivity of risk figures with respect to several assumptions. Therefore the package can be used to determine the credit risk of a given portfolio as well as to quantify model sensitivities.

Authors:Kevin Jakob

GCPM_1.2.2.tar.gz
GCPM_1.2.2.tar.gz(r-4.5-noble)GCPM_1.2.2.tar.gz(r-4.4-noble)
GCPM_1.2.2.tgz(r-4.4-emscripten)GCPM_1.2.2.tgz(r-4.3-emscripten)
GCPM.pdf |GCPM.html
GCPM/json (API)

# Install 'GCPM' in R:
install.packages('GCPM', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Uses libs:
  • c++– GNU Standard C++ Library v3
Datasets:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

cpp

1.00 score 1 stars 7 scripts 221 downloads 1 mentions 45 exports 2 dependencies

Last updated 8 years agofrom:05f18bfb50. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 11 2024
R-4.5-linux-x86_64OKDec 11 2024

Exports:analyzebusinessCDFcountrydefaultEADECEC.contELEL.analytESES.contexportidiosyncrinitLGDLHRlink.functionlossloss.thrloss.unitmodel.typeNnameNCNRNSPDPDFPLplotrandom.numbersSDSD.analytSD.contSD.divSD.systsec.varsector.namesseedshowsummaryVaRVaR.contW

Dependencies:RcppRcppProgress

Readme and manuals

Help Manual

Help pageTopics
Generalized Credit Portfolio ModelGCPM-package GCPM
Maximum CDF Levelalpha.max alpha.max,GCPM alpha.max-methods
Analyze a Credit Portfolioanalyze analyze,GCPM,data.frame,missing,missing-method analyze,GCPM,data.frame,missing,numeric-method analyze,GCPM,data.frame,numeric,missing-method analyze,GCPM,data.frame,numeric,numeric-method analyze,GCPM-method analyze-methods
Counterparty Business Linebusiness business,GCPM-method business-methods
Cumulative Distribution Function of Portfolio LossCDF CDF,GCPM-method CDF-methods
Country Informationcountry country,GCPM-method country-methods
Default Distributiondefault default,GCPM-method default-methods
Exposure at DefaultEAD EAD,GCPM-method EAD-methods
Economic CapitalEC EC,GCPM,missing-method EC,GCPM,numeric-method EC-methods
Risk Contributions to Economic CapitalEC.cont EC.cont,GCPM,numeric-method EC.cont,GCPM-method EC.cont-methods
Expected Loss (from Loss Distribution)EL EL,GCPM-method EL-methods
Expected Loss (analytical)EL.analyt EL.analyt,GCPM-method EL.analyt-methods
Expected ShortfallES ES,GCPM,missing-method ES,GCPM,numeric-method ES-methods
Risk Contributions to Expected ShortfallES.cont ES.cont,GCPM,numeric-method ES.cont,GCPM-method ES.cont-methods
Export Main Resultsexport export,GCPM,character,character,missing-method export,GCPM,character,character,numeric-method export,GCPM,character,missing,missing-method export,GCPM,character,missing,numeric-method export,GCPM,missing,character,missing-method export,GCPM,missing,character,numeric-method export,GCPM,missing,missing,missing-method export,GCPM,missing,missing,numeric-method export,GCPM-method export-methods
Class '"GCPM"'GCPM-class
Idiosyncratic Risk Weightsidiosyncr idiosyncr,GCPM-method idiosyncr-methods
Initialize an Object of Class 'GCPM'init
Loss Given DefaultLGD LGD,GCPM-method LGD-methods
Likelihood RatioLHR LHR,GCPM-method LHR-methods
Model Link Functionlink.function link.function,GCPM-method link.function-methods
Loss Levelsloss loss,GCPM-method loss-methods
Threshold of Saved Portfolio Lossloss.thr loss.thr,GCPM-method loss.thr-methods
Loss Unitloss.unit loss.unit,GCPM-method loss.unit-methods
Model Typemodel.type model.type,GCPM-method model.type-methods
Number of SimulationsN N,GCPM-method N-methods
Counterparty Namesname name,GCPM-method name-methods
Number of CounterpartiesNC NC,GCPM-method NC-methods
Counterparty IDsNR NR,GCPM-method NR-methods
Number of SectorsNS NS,GCPM-method NS-methods
Counterparty Probability of DefaultPD PD,GCPM-method PD-methods
Probability Density FunctionPDF PDF,GCPM-method PDF-methods
Counterparty Potential LossPL PL,GCPM-method PL-methods
Plot of the Portfolio Loss Distributionplot plot,ANY-method plot,GCPM-method plot-methods
Example Portfolio Data with Poisson Default Modeportfolio.pois
Pooled Portfolioportfolio.pool
Example Portfolios for GCPM Packageportfolios
Sector Drawingsrandom.numbers random.numbers,GCPM-method random.numbers-methods
Standard Deviation (Loss Distribution)SD SD,GCPM-method SD-methods
Standard Deviation (from Portfolio Data)SD.analyt SD.analyt,GCPM-method SD.analyt-methods
Risk Contributions to Portfolio Standard DeviationSD.cont SD.cont,GCPM-method SD.cont-methods
Diversifiable Risk (Standard Deviation)SD.div SD.div,GCPM-method SD.div-methods
Systemic Risk (Standard Deviation)SD.syst SD.syst,GCPM-method SD.syst-methods
Sector Variancessec.var sec.var,GCPM-method sec.var-methods
Sector Namessector.names sector.names,GCPM-method sector.names-methods
Random Number Seedseed seed,GCPM-method seed-methods
Show Parameters of Credit Portfolio Modelshow,GCPM-method show-methods
Model summarysummary summary,ANY-method summary,GCPM-method summary-methods
Portfolio Value at RiskVaR VaR,GCPM,missing-method VaR,GCPM,numeric-method VaR,GCPM-method VaR-methods
Risk Contributions to Portfolio Value at RiskVaR.cont VaR.cont,GCPM,numeric-method VaR.cont,GCPM-method VaR.cont-methods
Sector WeightsW W,GCPM-method W-methods