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:
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')) |
- portfolio.pois - Example Portfolio Data with Poisson Default Mode
- portfolio.pois - Example Portfolio Data with Poisson Default Mode
- portfolio.pool - Pooled Portfolio
- portfolio.pool - Pooled Portfolio
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 8 years agofrom:05f18bfb50. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Sep 12 2024 |
| R-4.5-linux-x86_64 | OK | Sep 12 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 page | Topics |
|---|---|
| Generalized Credit Portfolio Model | GCPM-package GCPM |
| Maximum CDF Level | alpha.max alpha.max,GCPM alpha.max-methods |
| Analyze a Credit Portfolio | analyze 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 Line | business business,GCPM-method business-methods |
| Cumulative Distribution Function of Portfolio Loss | CDF CDF,GCPM-method CDF-methods |
| Country Information | country country,GCPM-method country-methods |
| Default Distribution | default default,GCPM-method default-methods |
| Exposure at Default | EAD EAD,GCPM-method EAD-methods |
| Economic Capital | EC EC,GCPM,missing-method EC,GCPM,numeric-method EC-methods |
| Risk Contributions to Economic Capital | EC.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 Shortfall | ES ES,GCPM,missing-method ES,GCPM,numeric-method ES-methods |
| Risk Contributions to Expected Shortfall | ES.cont ES.cont,GCPM,numeric-method ES.cont,GCPM-method ES.cont-methods |
| Export Main Results | export 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 Weights | idiosyncr idiosyncr,GCPM-method idiosyncr-methods |
| Initialize an Object of Class 'GCPM' | init |
| Loss Given Default | LGD LGD,GCPM-method LGD-methods |
| Likelihood Ratio | LHR LHR,GCPM-method LHR-methods |
| Model Link Function | link.function link.function,GCPM-method link.function-methods |
| Loss Levels | loss loss,GCPM-method loss-methods |
| Threshold of Saved Portfolio Loss | loss.thr loss.thr,GCPM-method loss.thr-methods |
| Loss Unit | loss.unit loss.unit,GCPM-method loss.unit-methods |
| Model Type | model.type model.type,GCPM-method model.type-methods |
| Number of Simulations | N N,GCPM-method N-methods |
| Counterparty Names | name name,GCPM-method name-methods |
| Number of Counterparties | NC NC,GCPM-method NC-methods |
| Counterparty IDs | NR NR,GCPM-method NR-methods |
| Number of Sectors | NS NS,GCPM-method NS-methods |
| Counterparty Probability of Default | PD PD,GCPM-method PD-methods |
| Probability Density Function | PDF PDF,GCPM-method PDF-methods |
| Counterparty Potential Loss | PL PL,GCPM-method PL-methods |
| Plot of the Portfolio Loss Distribution | plot plot,ANY-method plot,GCPM-method plot-methods |
| Example Portfolio Data with Poisson Default Mode | portfolio.pois |
| Pooled Portfolio | portfolio.pool |
| Example Portfolios for GCPM Package | portfolios |
| Sector Drawings | random.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 Deviation | SD.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 Variances | sec.var sec.var,GCPM-method sec.var-methods |
| Sector Names | sector.names sector.names,GCPM-method sector.names-methods |
| Random Number Seed | seed seed,GCPM-method seed-methods |
| Show Parameters of Credit Portfolio Model | show,GCPM-method show-methods |
| Model summary | summary summary,ANY-method summary,GCPM-method summary-methods |
| Portfolio Value at Risk | VaR VaR,GCPM,missing-method VaR,GCPM,numeric-method VaR,GCPM-method VaR-methods |
| Risk Contributions to Portfolio Value at Risk | VaR.cont VaR.cont,GCPM,numeric-method VaR.cont,GCPM-method VaR.cont-methods |
| Sector Weights | W W,GCPM-method W-methods |