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.


Reference manual

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1.2.2 by Kevin Jakob, 5 years ago

Browse source code at

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