GCPM: 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 lossescaused by defaults, i.e. migration risk is not included. The package structure is keptflexible especially with respect to distributional assumptions in order to quantify thesensitivity of risk figures with respect to several assumptions. Therefore the packagecan be used to determine the credit risk of a given portfolio as well as to quantifymodel sensitivities.
Documentation:
Downloads:
Linking:
Please use the canonical formhttps://CRAN.R-project.org/package=GCPMto link to this page.