Generalized Credit Portfolio Model
Maximum CDF Level
Analyze a Credit Portfolio
Counterparty Business Line
Cumulative Distribution Function of Portfolio Loss
Country Information
Default Distribution
Exposure at Default
Economic Capital
Risk Contributions to Economic Capital
Expected Loss (from Loss Distribution)
Expected Loss (analytical)
Expected Shortfall
Risk Contributions to Expected Shortfall
Export Main Results
Class "GCPM"
Generalized Credit Portfolio Model
Idiosyncratic Risk Weights
Initialize an Object of Class GCPM
Loss Given Default
Likelihood Ratio
Model Link Function
Loss Levels
Threshold of Saved Portfolio Loss
Loss Unit
Model Type
Number of Simulations
Counterparty Names
Number of Counterparties
Counterparty IDs
Number of Sectors
Counterparty Probability of Default
Probability Density Function
Counterparty Potential Loss
Plot of the Portfolio Loss Distribution
Example Portfolio Data with Poisson Default Mode
Pooled Portfolio
Sector Drawings
Standard Deviation (Loss Distribution)
Standard Deviation (from Portfolio Data)
Risk Contributions to Portfolio Standard Deviation
Diversifiable Risk (Standard Deviation)
Systemic Risk (Standard Deviation)
Sector Variances
Sector Names
Random Number Seed
Show Parameters of Credit Portfolio Model
Model summary
Portfolio Value at Risk
Risk Contributions to Portfolio Value at Risk
Sector Weights
Analyze the default risk of credit portfolios. Commonly known models, like CreditRisk+ or the CreditMetrics model are implemented in their very basic settings. The portfolio loss distribution can be achieved either by simulation or analytically in case of the classic CreditRisk+ model. Models are only implemented to respect losses caused by defaults, i.e. migration risk is not included. The package structure is kept flexible especially with respect to distributional assumptions in order to quantify the sensitivity of risk figures with respect to several assumptions. Therefore the package can be used to determine the credit risk of a given portfolio as well as to quantify model sensitivities.