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.


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install.packages("GCPM")

1.2.2 by Kevin Jakob, 2 years ago


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


Authors: Kevin Jakob


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL-2 license


Imports Rcpp, methods, RcppProgress, parallel

Linking to Rcpp, RcppProgress

System requirements: Windows, Linux, OS X


See at CRAN