CreditRisk+ Portfolio Model

Modelling credit risks based on the concept of "CreditRisk+", First Boston Financial Products, 1997 and "CreditRisk+ in the Banking Industry", Gundlach & Lehrbass, Springer, 2003.


Reference manual

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2.0.2 by Kevin Jakob, 3 years ago

Browse source code at

Authors: Kevin Jakob , Dr. Matthias Fischer & Stefan Kolb

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL-2 license

Imports methods, MASS, utils, graphics

See at CRAN