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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]
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
Previous versions and publish date:
1.0 (2014-11-18 22:25), 1.1.1 (2014-12-01 18:13), 1.1 (2014-11-25 08:40), 1.2.1 (2016-09-11 18:37), 1.2 (2015-06-29 02:33)
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