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. References: Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013) <doi:10.1002/9781118818589>. Print ISBN: 9780470748466, Online ISBN: 9781118818589. © 2013 John Wiley & Sons Ltd.

Version: 0.1.7
Imports: stats
Suggests: testthat
Published: 2024-04-19
DOI: 10.32614/CRAN.package.CreditRisk
Author: Alessandro Cimarelli [aut, cre], Nicolò Manca [aut]
Maintainer: Alessandro Cimarelli <alessandro.cimarelli at>
License: MIT + file LICENSE
NeedsCompilation: no
CRAN checks: CreditRisk results


Reference manual: CreditRisk.pdf


Package source: CreditRisk_0.1.7.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): CreditRisk_0.1.7.tgz, r-oldrel (arm64): CreditRisk_0.1.7.tgz, r-release (x86_64): CreditRisk_0.1.7.tgz, r-oldrel (x86_64): CreditRisk_0.1.7.tgz
Old sources: CreditRisk archive


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