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CreditRisk  

Evaluation of Credit Risk with Structural and Reduced Form Models
View on CRAN: Click here


Download and install CreditRisk package within the R console
Install from CRAN:
install.packages("CreditRisk")

Install from Github:
library("remotes")
install_github("cran/CreditRisk")

Install by package version:
library("remotes")
install_version("CreditRisk", "0.1.7")



Attach the package and use:
library("CreditRisk")
Maintained by
Alessandro Cimarelli
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2017-09-12
Latest Update: 2024-04-19
Description:
Evaluation of default probability of sovereign and corporate entities based on structural or intensity based models and calibration on market Credit Default Swap quotes. References: Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013) <doi:10.1002/9781118818589>. Print ISBN: 9780470748466, Online ISBN: 9781118818589. © 2013 John Wiley & Sons Ltd.
How to cite:
Alessandro Cimarelli (2017). CreditRisk: Evaluation of Credit Risk with Structural and Reduced Form Models. R package version 0.1.7, https://cran.r-project.org/web/packages/CreditRisk. Accessed 06 Mar. 2026.
Previous versions and publish date:
0.1.0 (2017-09-12 20:06), 0.1.1 (2017-10-02 12:54), 0.1.3 (2018-01-21 18:10)
Other packages that cited CreditRisk R package
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Complete documentation for CreditRisk
Functions, R codes and Examples using the CreditRisk R package
Full CreditRisk package functions and examples
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