crp.CSFP: CreditRisk+ Portfolio Model

Modelling credit risks based on the concept of "CreditRisk+", First Boston Financial Products, 1997 and "CreditRisk+ in the Banking Industry", Gundlach & Lehrbass, Springer, 2003.

Version: 2.0.1
Imports: methods, MASS, utils, graphics
Published: 2015-07-11
Author: Kevin Jakob, Dr. Matthias Fischer & Stefan Kolb
Maintainer: Kevin Jakob <Kevin.Jakob at>
License: GPL-2
NeedsCompilation: no
In views: Finance
CRAN checks: crp.CSFP results


Reference manual: crp.CSFP.pdf
Package source: crp.CSFP_2.0.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Snow Leopard binaries: r-release: crp.CSFP_2.0.1.tgz, r-oldrel: crp.CSFP_2.0.tgz
OS X Mavericks binaries: r-release: crp.CSFP_2.0.1.tgz
Old sources: crp.CSFP archive