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 icloud.com> |
| 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: CreditRisk_0.1.3.zip, r-release: CreditRisk_0.1.3.zip, r-oldrel: CreditRisk_0.1.3.zip |
| macOS binaries: | r-release: CreditRisk_0.1.3.tgz, r-oldrel: CreditRisk_0.1.3.tgz |
| Old sources: | CreditRisk archive |
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