{ "_id": "6a101f4cacfb0bcc41c8b079", "Package": "CreditRisk", "Type": "Package", "Title": "Evaluation of Credit Risk with Structural and Reduced Form\nModels", "Version": "0.1.7", "Date": "2024-04-18", "Authors@R": "c(\nperson(\"Alessandro\", \"Cimarelli\", email = \"alessandro.cimarelli@icloud.com\", role = c(\"aut\", \"cre\")),\nperson(\"Nicolò\", \"Manca\", email = \"n.manca1992@gmail.com\", role = c(\"aut\"))\n)", "Maintainer": "Alessandro Cimarelli ", "Description": "Evaluation of default probability of sovereign and\ncorporate entities based on structural or intensity based\nmodels and calibration on market Credit Default Swap quotes.\nReferences: Damiano Brigo, Massimo Morini, Andrea Pallavicini\n(2013) . Print ISBN: 9780470748466,\nOnline ISBN: 9781118818589. © 2013 John Wiley & Sons Ltd.", "License": "MIT + file LICENSE", "Encoding": "UTF-8", "LazyData": "true", "RoxygenNote": "7.3.1", "NeedsCompilation": "no", "Packaged": { "Date": "2026-05-14 06:50:45 UTC", "User": "root" }, "Author": "Alessandro Cimarelli [aut, cre], Nicolò Manca [aut]", "Repository": "https://cran.r-universe.dev", "Date/Publication": "2024-04-20 02:31:08 UTC", "RemoteUrl": "https://github.com/cran/CreditRisk", "RemoteRef": "HEAD", "RemoteSha": "10fc2789e6328e422b243593b313b2a635beb604", "MD5sum": "480b0127ccda5d2233fd23125aedd619", "_user": "cran", "_type": "src", "_file": "CreditRisk_0.1.7.tar.gz", "_fileid": "11473238f3b581a53e129179f669079283539ec3e075d14a1e3ba049dfe8d1de", "_filesize": 258225, "_sha256": "11473238f3b581a53e129179f669079283539ec3e075d14a1e3ba049dfe8d1de", "_created": "2026-05-14T06:50:45.000Z", "_published": "2026-05-22T09:18:04.126Z", "_distro": "noble", "_jobs": [ { "job": 77351215693, "time": 104, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "6988869400" }, { "job": 77351215071, "time": 109, "config": "linux-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "6988870346" }, { "job": 77351214903, "time": 155, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "6988846550" }, { "job": 77351214535, "time": 89, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7157068951" } ], "_buildurl": "https://github.com/r-universe/cran/actions/runs/25846243763", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/cran/CreditRisk", "_commit": { "id": "10fc2789e6328e422b243593b313b2a635beb604", "author": "Alessandro Cimarelli ", "committer": "cran-robot ", "message": "version 0.1.7\n", "time": 1713580268 }, "_maintainer": { "name": "Alessandro Cimarelli", "email": "alessandro.cimarelli@icloud.com" }, "_registered": true, "_dependencies": [ { "package": "stats", "role": "Imports" }, { "package": "testthat", "role": "Suggests" } ], "_owner": "cran", "_selfowned": false, "_usedby": 0, "_updates": [], "_tags": [], "_stars": 3, "_userbio": { "uuid": 6899542, "type": "organization", "name": "cran", "description": "Unofficial read-only mirror of all CRAN R packages" }, "_downloads": { "count": 208, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/CreditRisk" }, "_searchresults": 13, "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/CreditRisk.html", "manual.pdf" ], "_realowner": "cran", "_cranurl": false, "_releases": [ { "version": "0.1.0", "date": "2017-09-12" }, { "version": "0.1.1", "date": "2017-10-02" }, { "version": "0.1.3", "date": "2018-01-21" }, { "version": "0.1.7", "date": "2024-04-19" } ], "_exports": [ "at1p", "BlackCox", "calibrate.at1p", "calibrate.BlackCox", "calibrate.cds", "calibrate.sbtv", "cds", "cds2", "cum_normal_density", "generalized_black_scholes", "Merton", "Merton.sim", "sbtv" ], "_datasets": [ { "name": "cdsdata", "title": "CDS quotes from market", "object": "cdsdata", "class": [ "data.frame" ], "fields": [ "Maturity", "ED.Zero.Curve", "Par.spread" ], "rows": 10, "table": true, "tojson": true } ], "_help": [ { "page": "at1p", "title": "Analytically - Tractable First Passage (AT1P) model", "topics": [ "at1p" ] }, { "page": "BlackCox", "title": "Black and Cox's model", "topics": [ "BlackCox" ] }, { "page": "calibrate.at1p", "title": "AT1P model calibration to market CDS data", "topics": [ "calibrate.at1p" ] }, { "page": "calibrate.BlackCox", "title": "Black and Cox model calibration to market CDS data", "topics": [ "calibrate.BlackCox" ] }, { "page": "calibrate.cds", "title": "Calibrate the default intensities to market CDS data", "topics": [ "calibrate.cds" ] }, { "page": "calibrate.sbtv", "title": "SBTV model calibration to market CDS data", "topics": [ "calibrate.sbtv" ] }, { "page": "cds", "title": "Calculates Credit Default Swap rates", "topics": [ "cds" ] }, { "page": "cds2", "title": "Calculate Credit Default Swap rates", "topics": [ "cds2" ] }, { "page": "cdsdata", "title": "CDS quotes from market", "topics": [ "cdsdata" ] }, { "page": "cum_normal_density", "title": "Cumulative Normal Distribution Function", "topics": [ "cum_normal_density" ] }, { "page": "generalized_black_scholes", "title": "Generalized Black-Scholes Option Pricing Model", "topics": [ "generalized_black_scholes" ] }, { "page": "Merton", "title": "Merton's model", "topics": [ "Merton" ] }, { "page": "Merton.sim", "title": "Firm value in Merton's model", "topics": [ "Merton.sim" ] }, { "page": "sbtv", "title": "Scenario Barrier Time-Varying Volatility AT1P model", "topics": [ "sbtv" ] } ], "_rundeps": [], "_score": 1.591064607026499, "_indexed": true, "_nocasepkg": "creditrisk", "_universes": [ "cran" ], "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "0.1.7", "date": "2026-05-14T06:52:35.000Z", "distro": "noble", "commit": "10fc2789e6328e422b243593b313b2a635beb604", "fileid": "d91ed74f321a640669c43983928f4310c96f07c06bdfc81245bc833a9b34368e", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/cran/actions/runs/25846243763" }, { "r": "4.6.0", "os": "linux", "version": "0.1.7", "date": "2026-05-14T06:52:38.000Z", "distro": "noble", "commit": "10fc2789e6328e422b243593b313b2a635beb604", "fileid": "40277d2becb95c254c4e6028d2a7e5063e9e90c6353b12a2dde157c22738671b", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/cran/actions/runs/25846243763" }, { "r": "4.6.0", "os": "wasm", "version": "0.1.7", "date": "2026-05-22T09:17:44.000Z", "commit": "10fc2789e6328e422b243593b313b2a635beb604", "fileid": "2963d59d78410ec82719602b9b35e0d3a74125670747924c0120afb0365f6af0", "status": "success", "buildurl": "https://github.com/r-universe/cran/actions/runs/25846243763" } ] }