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GCPM
Generalized Credit Portfolio Model
View on CRAN: Click
here
Download and install GCPM package within the R console
Install from CRAN:
install.packages("GCPM")
Install from Github:
library("remotes")
install_github("cran/GCPM") Install by package version:
library("remotes")
install_version("GCPM", "1.2.2") Attach the package and use:
library("GCPM")
Maintained by
Kevin Jakob
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2014-11-18
Latest Update: 2016-12-30
Description:
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 losses
caused by defaults, i.e. migration risk is not included. The package structure is kept
flexible especially with respect to distributional assumptions in order to quantify the
sensitivity of risk figures with respect to several assumptions. Therefore the package
can be used to determine the credit risk of a given portfolio as well as to quantify
model sensitivities.
How to cite:
Kevin Jakob (2014). GCPM: Generalized Credit Portfolio Model. R package version 1.2.2, https://cran.r-project.org/web/packages/GCPM. Accessed 18 Sep. 2026.
Previous versions and publish date:
Other packages that cited GCPM R package
View GCPM citation profile
Other R packages that GCPM depends,
imports, suggests or enhances
Complete documentation for GCPM
Functions, R codes and Examples using
the GCPM R package
Some associated functions: CDF-methods . EAD-methods . EC-methods . EC.cont-methods . EL-methods . EL.analyt-methods . ES-methods . ES.cont-methods . GCPM-class . GCPM-package . LGD-methods . LHR-methods . N-methods . NC-methods . NR-methods . NS-methods . PD-methods . PDF-methods . PL-methods . SD-methods . SD.analyt-methods . SD.cont-methods . SD.div-methods . SD.syst-methods . VaR-methods . VaR.cont-methods . W-methods . alpha.max-methods . analyze-methods . business-methods . country-methods . default-methods . export-methods . idiosyncr-methods . init . link.function-methods . loss-methods . loss.thr-methods . loss.unit-methods . model.type-methods . name-methods . plot-methods . portfolio.pois . portfolio.pool . portfolios . random.numbers-methods . sec.var-methods . sector.names-methods . seed-methods . show-methods . summary-methods .
Some associated R codes: GCPM.R . cpploss.R . other_functions.R . Full GCPM package functions and examples
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