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. Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013): "Counterparty Credit Risk, Collateral and Funding. With Pricing Cases for All Asset Classes".


Reference manual

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0.1.3 by Alessandro Cimarelli, 4 years ago

Browse source code at https://github.com/cran/CreditRisk

Authors: Alessandro Cimarelli <[email protected]> [anl, aut, cre] Nicolò Manca <[email protected]> [anl, aut, cre]

Documentation:   PDF Manual  

MIT + file LICENSE license

Imports fOptions, stats

Suggests testthat

See at CRAN