Package: GCPM
Type: Package
Title: Generalized Credit Portfolio Model
Version: 1.2.2
Date: 2016-12-29
Author: Kevin Jakob
Maintainer: Kevin Jakob <Kevin.Jakob.Research@gmail.com>
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.
License: GPL-2
Imports: Rcpp (>= 0.11.2), methods, RcppProgress(>= 0.1), parallel
LinkingTo: Rcpp, RcppProgress
SystemRequirements: Windows, Linux, OS X
NeedsCompilation: yes
Packaged: 2016-12-29 14:12:11 UTC; Kevin
Repository: CRAN
Date/Publication: 2016-12-30 00:34:04
Built: R 4.1.0; x86_64-w64-mingw32; 2020-08-03 04:53:47 UTC; windows
Archs: i386, x64
