Evaluation of Credit Risk with Structural and Reduced Form Models

Evaluation of default probability of sovereign and corporate entities based on structural or intensity based models and calibration on market Credit Default Swap quotes. Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013): "Counterparty Credit Risk, Collateral and Funding. With Pricing Cases for All Asset Classes".


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install.packages("CreditRisk")

0.1.1 by Alessandro Cimarelli, 2 months ago


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


Authors: Alessandro Cimarelli <alessandro.cimarelli@icloud.com> [anl, aut, cre] Nicolò Manca <n.manca1992@gmail.com> [anl, aut, cre]


Documentation:   PDF Manual  


MIT + file LICENSE license


Imports fOptions, stats

Suggests testthat


See at CRAN