CreditRisk: 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".

Version: 0.1.3
Imports: fOptions, stats
Suggests: testthat
Published: 2018-01-21
Author: Alessandro Cimarelli [anl, aut, cre] Nicolò Manca [anl, aut, cre]
Maintainer: Alessandro Cimarelli <alessandro.cimarelli at>
License: MIT + file LICENSE
NeedsCompilation: no
CRAN checks: CreditRisk results


Reference manual: CreditRisk.pdf
Package source: CreditRisk_0.1.3.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X binaries: r-release: CreditRisk_0.1.3.tgz, r-oldrel: CreditRisk_0.1.3.tgz
Old sources: CreditRisk archive


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