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 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.

Version: 1.2.2
Imports: Rcpp (≥ 0.11.2), methods, RcppProgress (≥ 0.1), parallel
LinkingTo: Rcpp, RcppProgress
Published: 2016-12-30
Author: Kevin Jakob
Maintainer: Kevin Jakob <Kevin.Jakob.Research at gmail.com>
License: GPL-2
NeedsCompilation: yes
SystemRequirements: Windows, Linux, OS X
In views: Finance
CRAN checks: GCPM results


Reference manual: GCPM.pdf
Package source: GCPM_1.2.2.tar.gz
Windows binaries: r-devel: GCPM_1.2.2.zip, r-release: GCPM_1.2.2.zip, r-oldrel: GCPM_1.2.2.zip
OS X Mavericks binaries: r-release: GCPM_1.2.2.tgz, r-oldrel: GCPM_1.2.2.tgz
Old sources: GCPM archive


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