New package CreditMetrics

Thu, Oct 19, 2006 10:29 AM #

Dear R useRs,

A new package 'CreditMetrics' is now available on CRAN. It is mainly a 
set of
functions for computing the CreditMetrics risk model.

This is the first version of the package and it is also my first try to
build a package for R.

The canonical reference is:
Glasserman, Paul, Monte Carlo Methods in Financial Engineering, Springer 
2004


Suggestions, bug reports and other comments are very welcome.


enjoy and best regards
Andreas