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.


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Reference manual

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install.packages("crp.CSFP")

2.0.2 by Kevin Jakob, 3 years ago


Browse source code at https://github.com/cran/crp.CSFP


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