Message-ID: <47DAAEDE.7060803@braverock.com>
Date: 2008-03-14T16:59:10Z
From: Brian G. Peterson
Subject: CreditRisk+
In-Reply-To: <222a98370803140712m68b019fwc0549efb71b11a37@mail.gmail.com>
Sergi Mart?nez wrote:
> <r-sig-finance at stat.math.ethz.ch>
> I know that your time is valuable, therefore I will be brief.
>
> I am looking for some packages that it has implemented the CreditRisk+ model
> in R by any of its variants (FFT, the Saddle Point approximation and the
> Panjer recursion), for one or several sectors.
Have you looked at the 'creditmetrics' package? creditrisk+ and
creditmetrics have some very similar model capabilities.
http://cran.r-project.org/web/packages/CreditMetrics/index.html
Also, I assume you're referring to the CSFB CreditRisk+ product, and the
models defined here:
http://www.csfb.com/institutional/research/assets/creditrisk.pdf
R has the function 'fft' for Fast Fourier Transform
The 'boot' package provides several saddle point distribution functions.
Several methods proposed by Panjer are available in the R package 'actuar'
Please share your results with this list as you experiment with these
various functions.
Regards,
- Brian