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| crp.CSFP-package | CreditRisk+ portfolio model |
| crp.calc.portfolio.statistics | Calculating portfolio statistics |
| crp.calc.portfolio.statistics-method | Calculating portfolio statistics |
| crp.calc.portfolio.statistics-methods | Calculating portfolio statistics |
| crp.CSFP | Main routine for CSFP-model |
| crp.CSFP-class | Class crp.CSFP |
| crp.CSFP-method | Main routine for CSFP-model |
| crp.CSFP.loss | Calculating the loss distribution |
| crp.CSFP.loss-method | Calculating the loss distribution |
| crp.CSFP.rc.sd | Calculating risk contributions to standard deviation |
| crp.CSFP.rc.sd-method | Calculating risk contributions to standard deviation |
| crp.CSFP.rc.vares | Calculating risk contributions to VaR and ES |
| crp.CSFP.rc.vares-method | Calculating risk contributions to VaR and ES |
| crp.export | Export risk contributions |
| crp.export-method | Export risk contributions |
| crp.init | Initializing a new entity of class crp.CSFP |
| crp.integrity.check | Internal method to ensure model integrity |
| crp.integrity.check-method | Internal method to ensure model integrity |
| crp.measure | Calculating portfolio measures |
| crp.measure-method | Calculating portfolio measures |
| crp.plausi | Checking input data for plausibility |
| crp.plausi-method | Checking input data for plausibility |
| crp.plot | Plotting the PDF |
| crp.plot-method | Plotting the PDF |
| crp.read | Reading the input files |
| crp.read-method | Reading the input files |
| crp.round | Rounding numerical values |
| crp.set.changes | Internal method for model integrity |
| crp.set.changes-method | Internal method for model integrity |
| crp.summary | Summarize portfolio key numbers |
| crp.summary-method | Summarize portfolio key numbers |
| crp.write.summary | Writing summary to file |
| crp.write.summary-method | Writing summary to file |
| fo | Function to convert numerical output. |
| get.a | Get the parameter 'a' of the model. |
| get.a-method | Get the parameter 'a' of the model. |
| get.a-methods | Get the parameter 'a' of the model. |
| get.ALPHA | Get the VaR level of the model. |
| get.ALPHA-method | Get the VaR level of the model. |
| get.ALPHA-methods | Get the VaR level of the model. |
| get.ALPHA.crp | Get the level of the VaR after disctetization. |
| get.ALPHA.crp-method | Get the level of the VaR after disctetization. |
| get.ALPHA.crp-methods | Get the level of the VaR after disctetization. |
| get.ALPHA.MAX | Get the maximum cdf level of the model. |
| get.ALPHA.MAX-method | Get the maximum cdf level of the model. |
| get.ALPHA.MAX-methods | Get the maximum cdf level of the model. |
| get.B | Get the parameter 'B' of the model. |
| get.B-method | Get the parameter 'B' of the model. |
| get.B-methods | Get the parameter 'B' of the model. |
| get.CALC.RISK.CONT | Get the value of the 'CALC.RISK.CONT' flag. |
| get.CALC.RISK.CONT-method | Get the value of the 'CALC.RISK.CONT' flag. |
| get.CALC.RISK.CONT-methods | Get the value of the 'CALC.RISK.CONT' flag. |
| get.CDF | Get the cdf of the model. |
| get.CDF-method | Get the cdf of the model. |
| get.CDF-methods | Get the cdf of the model. |
| get.changes.crp.calc.portfolio.statistics | Get the state of the 'changes.crp.calc.portfolio.statistics' flag. |
| get.changes.crp.calc.portfolio.statistics-method | Get the state of the 'changes.crp.calc.portfolio.statistics' flag. |
| get.changes.crp.calc.portfolio.statistics-methods | Get the state of the 'changes.crp.calc.portfolio.statistics' flag. |
| get.changes.crp.CSFP.loss | Get the state of the 'changes.crp.CSFP.loss' flag. |
| get.changes.crp.CSFP.loss-method | Get the state of the 'changes.crp.CSFP.loss' flag. |
| get.changes.crp.CSFP.loss-methods | Get the state of the 'changes.crp.CSFP.loss' flag. |
| get.changes.crp.CSFP.rc.sd | Get the state of the 'changes.crp.CSFP.rc.sd' flag. |
| get.changes.crp.CSFP.rc.sd-method | Get the state of the 'changes.crp.CSFP.rc.sd' flag. |
| get.changes.crp.CSFP.rc.sd-methods | Get the state of the 'changes.crp.CSFP.rc.sd' flag. |
| get.changes.crp.CSFP.rc.vares | Get the state of the 'changes.crp.CSFP.rc.vares'flag. |
| get.changes.crp.CSFP.rc.vares-method | Get the state of the 'changes.crp.CSFP.rc.vares'flag. |
| get.changes.crp.CSFP.rc.vares-methods | Get the state of the 'changes.crp.CSFP.rc.vares'flag. |
| get.changes.crp.export | Get the state of the 'changes.crp.export' flag. |
| get.changes.crp.export-method | Get the state of the 'changes.crp.export' flag. |
| get.changes.crp.export-methods | Get the state of the 'changes.crp.export' flag. |
| get.changes.crp.measure | Get the state of the 'changes.crp.measure' flag. |
| get.changes.crp.measure-method | Get the state of the 'changes.crp.measure' flag. |
| get.changes.crp.measure-methods | Get the state of the 'changes.crp.measure' flag. |
| get.changes.crp.plausi | Get the state of the 'changes.crp.plausi' flag. |
| get.changes.crp.plausi-method | Get the state of the 'changes.crp.plausi' flag. |
| get.changes.crp.plausi-methods | Get the state of the 'changes.crp.plausi' flag. |
| get.changes.crp.plot | Get the state of the 'changes.crp.plot' flag. |
| get.changes.crp.plot-method | Get the state of the 'changes.crp.plot' flag. |
| get.changes.crp.plot-methods | Get the state of the 'changes.crp.plot' flag. |
| get.changes.crp.read | Get the state of the 'changes.crp.read' flag. |
| get.changes.crp.read-method | Get the state of the 'changes.crp.read' flag. |
| get.changes.crp.read-methods | Get the state of the 'changes.crp.read' flag. |
| get.CP.NR | Get the numbers of the counterparties of the model |
| get.CP.NR-method | Get the numbers of the counterparties of the model |
| get.CP.NR-methods | Get the numbers of the counterparties of the model |
| get.CP.RATING | Get the ratings of the several counterparties of the model |
| get.CP.RATING-method | Get the ratings of the several counterparties of the model |
| get.CP.RATING-methods | Get the ratings of the several counterparties of the model |
| get.EC | Get the economic capital of the model |
| get.EC-method | Get the economic capital of the model |
| get.EC-methods | Get the economic capital of the model |
| get.EL | Get the expected loss of the model |
| get.EL-method | Get the expected loss of the model |
| get.EL-methods | Get the expected loss of the model |
| get.EL.crp | Get the expected loss of the model after discretization. |
| get.EL.crp-method | Get the expected loss of the model after discretization. |
| get.EL.crp-methods | Get the expected loss of the model after discretization. |
| get.ES | Get the expected shortfall of the model |
| get.ES-method | Get the expected shortfall of the model |
| get.ES-methods | Get the expected shortfall of the model |
| get.ES.CONT | Get the expected shortfall contributions |
| get.ES.CONT-method | Get the expected shortfall contributions |
| get.ES.CONT-methods | Get the expected shortfall contributions |
| get.ES.TAU.CONT | Get the corresponding tau for expected shortfall contributions |
| get.ES.TAU.CONT-method | Get the corresponding tau for expected shortfall contributions |
| get.ES.TAU.CONT-methods | Get the corresponding tau for expected shortfall contributions |
| get.file.format | Get the file format of the model |
| get.file.format-method | Get the file format of the model |
| get.file.format-methods | Get the file format of the model |
| get.LGD | Get the loss given defaults of the model |
| get.LGD-method | Get the loss given defaults of the model |
| get.LGD-methods | Get the loss given defaults of the model |
| get.LOSS | Get the several losses (exposure bands) of the model |
| get.LOSS-method | Get the several losses (exposure bands) of the model |
| get.LOSS-methods | Get the several losses (exposure bands) of the model |
| get.LOSS.UNIT | Get the loss unit of the model |
| get.LOSS.UNIT-method | Get the loss unit of the model |
| get.LOSS.UNIT-methods | Get the loss unit of the model |
| get.M | Get the number of iterations for loss distribution |
| get.M-method | Get the number of iterations for loss distribution |
| get.M-methods | Get the number of iterations for loss distribution |
| get.MU.K | Get the expected number of defauls per sector |
| get.MU.K-method | Get the expected number of defauls per sector |
| get.MU.K-methods | Get the expected number of defauls per sector |
| get.NAME | Get the name of the model |
| get.NAME-method | Get the name of the model |
| get.NAME-methods | Get the name of the model |
| get.NC | Get the number of counterparties in the model |
| get.NC-method | Get the number of counterparties in the model |
| get.NC-methods | Get the number of counterparties in the model |
| get.NEX | Get the net exposure per counterparty |
| get.NEX-method | Get the net exposure per counterparty |
| get.NEX-methods | Get the net exposure per counterparty |
| get.NITER.MAX | Get the desired number of iterations or cdf level for loss distribution |
| get.NITER.MAX-method | Get the desired number of iterations or cdf level for loss distribution |
| get.NITER.MAX-methods | Get the desired number of iterations or cdf level for loss distribution |
| get.NS | Get the number of sectors of the model |
| get.NS-method | Get the number of sectors of the model |
| get.NS-methods | Get the number of sectors of the model |
| get.NU | Get the discrete losses of the model |
| get.NU-method | Get the discrete losses of the model |
| get.NU-methods | Get the discrete losses of the model |
| get.PATH.IN | Get the input path of the model |
| get.PATH.IN-method | Get the input path of the model |
| get.PATH.IN-methods | Get the input path of the model |
| get.PATH.OUT | Get the output path of the model |
| get.PATH.OUT-method | Get the output path of the model |
| get.PATH.OUT-methods | Get the output path of the model |
| get.PD | Get the counterparty probabilities of default after discretization |
| get.PD-method | Get the counterparty probabilities of default after discretization |
| get.PD-methods | Get the counterparty probabilities of default after discretization |
| get.PD0 | Get the counterparty probabilities of default of the model |
| get.PD0-method | Get the counterparty probabilities of default of the model |
| get.PD0-methods | Get the counterparty probabilities of default of the model |
| get.PDF | Get the PDF of the model |
| get.PDF-method | Get the PDF of the model |
| get.PDF-methods | Get the PDF of the model |
| get.PDVAR.NAME | Get the name of the file with the sector variances |
| get.PDVAR.NAME-method | Get the name of the file with the sector variances |
| get.PDVAR.NAME-methods | Get the name of the file with the sector variances |
| get.PL | Get the potential losses after discretization |
| get.PL-method | Get the potential losses after discretization |
| get.PL-methods | Get the potential losses after discretization |
| get.PL0 | Get the potetnial losses per counterparty |
| get.PL0-method | Get the potetnial losses per counterparty |
| get.PL0-methods | Get the potetnial losses per counterparty |
| get.PLOT.PDF | Get the state of 'PLOT.PDF' |
| get.PLOT.PDF-method | Get the state of 'PLOT.PDF' |
| get.PLOT.PDF-methods | Get the state of 'PLOT.PDF' |
| get.PLOT.RANGE.X | Get the plot range for losses |
| get.PLOT.RANGE.X-method | Get the plot range for losses |
| get.PLOT.RANGE.X-methods | Get the plot range for losses |
| get.PLOT.RANGE.Y | Get the plot range for probabilities |
| get.PLOT.RANGE.Y-method | Get the plot range for probabilities |
| get.PLOT.RANGE.Y-methods | Get the plot range for probabilities |
| get.PLOT.SCALE | Get the plot scale for losses |
| get.PLOT.SCALE-method | Get the plot scale for losses |
| get.PLOT.SCALE-methods | Get the plot scale for losses |
| get.PORT.NAME | Get the name of the portfolio file |
| get.PORT.NAME-method | Get the name of the portfolio file |
| get.PORT.NAME-methods | Get the name of the portfolio file |
| get.rating | Get the rating classes of the model |
| get.rating-method | Get the rating classes of the model |
| get.rating-methods | Get the rating classes of the model |
| get.rating.PD | Get the probabilities of default corresponding to rating classes |
| get.rating.PD-method | Get the probabilities of default corresponding to rating classes |
| get.rating.PD-methods | Get the probabilities of default corresponding to rating classes |
| get.rating.SD | Get the standard deviations corresponding to rating classes |
| get.rating.SD-method | Get the standard deviations corresponding to rating classes |
| get.rating.SD-methods | Get the standard deviations corresponding to rating classes |
| get.RISK.NAME | Get the name of the file containing the risk matrix of the model |
| get.RISK.NAME-method | Get the name of the file containing the risk matrix of the model |
| get.RISK.NAME-methods | Get the name of the file containing the risk matrix of the model |
| get.save.memory | Get the save memory state of the model |
| get.save.memory-method | Get the save memory state of the model |
| get.save.memory-methods | Get the save memory state of the model |
| get.SD | Get the standard deviation of the model |
| get.SD-method | Get the standard deviation of the model |
| get.SD-methods | Get the standard deviation of the model |
| get.SD.CONT | Get the standard deviation contributions of the several counterparties |
| get.SD.CONT-method | Get the standard deviation contributions of the several counterparties |
| get.SD.CONT-methods | Get the standard deviation contributions of the several counterparties |
| get.SD.crp | Get the discrete standard deviation of the model |
| get.SD.crp-method | Get the discrete standard deviation of the model |
| get.SD.crp-methods | Get the discrete standard deviation of the model |
| get.SEC.VAR | Get the sector variances read from external file. |
| get.SEC.VAR-method | Get the sector variances read from external file. |
| get.SEC.VAR-methods | Get the sector variances read from external file. |
| get.SEC.VAR.EST | Get the mode for sector variance estimation of the model |
| get.SEC.VAR.EST-method | Get the mode for sector variance estimation of the model |
| get.SEC.VAR.EST-methods | Get the mode for sector variance estimation of the model |
| get.SELV | Get the indices of the VaR in 'LOSS' |
| get.SELV-method | Get the indices of the VaR in 'LOSS' |
| get.SELV-methods | Get the indices of the VaR in 'LOSS' |
| get.SIGMA.K | Get the sector variances of the model |
| get.SIGMA.K-method | Get the sector variances of the model |
| get.SIGMA.K-methods | Get the sector variances of the model |
| get.SIGMA2_DIV | Get the diversifiable risk of the model |
| get.SIGMA2_DIV-method | Get the diversifiable risk of the model |
| get.SIGMA2_DIV-methods | Get the diversifiable risk of the model |
| get.SIGMA2_SYST | Get the systematik risk of the model |
| get.SIGMA2_SYST-method | Get the systematik risk of the model |
| get.SIGMA2_SYST-methods | Get the systematik risk of the model |
| get.V.K | Get the expected loss per sector |
| get.V.K-method | Get the expected loss per sector |
| get.V.K-methods | Get the expected loss per sector |
| get.VaR | Get the value at risk of the model |
| get.VaR-method | Get the value at risk of the model |
| get.VaR-methods | Get the value at risk of the model |
| get.VaR.CONT | Get the value at risk contributions on counterparty level |
| get.VaR.CONT-method | Get the value at risk contributions on counterparty level |
| get.VaR.CONT-methods | Get the value at risk contributions on counterparty level |
| get.W | Get the sector weights for several counterparties |
| get.W-method | Get the sector weights for several counterparties |
| get.W-methods | Get the sector weights for several counterparties |
| pd_sector_var | Sector variances for the Credit Suisse example portfolio |
| portfolio | Portfolio data for the Credit Suisse example portfolio |
| rating_pd | Risk matrix for the Credit Suisse example portfolio |
| set.ALPHA<- | Set the cdf level for VaR |
| set.ALPHA<--method | Set the cdf level for VaR |
| set.ALPHA<--methods | Set the cdf level for VaR |
| set.CALC.RISK.CONT<- | Set the state of 'CALC.RISK.CONT'. |
| set.CALC.RISK.CONT<--method | Set the state of 'CALC.RISK.CONT'. |
| set.CALC.RISK.CONT<--methods | Set the state of 'CALC.RISK.CONT'. |
| set.file.format<- | Set the file format |
| set.file.format<--method | Set the file format |
| set.file.format<--methods | Set the file format |
| set.LOSS.UNIT<- | Set the loss unit |
| set.LOSS.UNIT<--method | Set the loss unit |
| set.LOSS.UNIT<--methods | Set the loss unit |
| set.NAME<- | Set the name of the model |
| set.NAME<--method | Set the name of the model |
| set.NAME<--methods | Set the name of the model |
| set.NITER.MAX<- | Set the maximal number of iterations or desired cdf level |
| set.NITER.MAX<--method | Set the maximal number of iterations or desired cdf level |
| set.NITER.MAX<--methods | Set the maximal number of iterations or desired cdf level |
| set.PATH.IN<- | Set input path |
| set.PATH.IN<--method | Set input path |
| set.PATH.IN<--methods | Set input path |
| set.PATH.OUT<- | Set output path |
| set.PATH.OUT<--method | Set output path |
| set.PATH.OUT<--methods | Set output path |
| set.PDVAR.NAME<- | Set the name for the file with sector variances |
| set.PDVAR.NAME<--method | Set the name for the file with sector variances |
| set.PDVAR.NAME<--methods | Set the name for the file with sector variances |
| set.PLOT.PDF<- | Set the state of 'PLOT.PDF' |
| set.PLOT.PDF<--method | Set the state of 'PLOT.PDF' |
| set.PLOT.PDF<--methods | Set the state of 'PLOT.PDF' |
| set.PLOT.RANGE.X<- | Set the plot range for the losses |
| set.PLOT.RANGE.X<--method | Set the plot range for the losses |
| set.PLOT.RANGE.X<--methods | Set the plot range for the losses |
| set.PLOT.RANGE.Y<- | Set the plot range for the probabilities |
| set.PLOT.RANGE.Y<--method | Set the plot range for the probabilities |
| set.PLOT.RANGE.Y<--methods | Set the plot range for the probabilities |
| set.PLOT.SCALE<- | Set the plot scale for portfolio losses |
| set.PLOT.SCALE<--method | Set the plot scale for portfolio losses |
| set.PLOT.SCALE<--methods | Set the plot scale for portfolio losses |
| set.PORT.NAME<- | Set the name for the portfolio file |
| set.PORT.NAME<--method | Set the name for the portfolio file |
| set.PORT.NAME<--methods | Set the name for the portfolio file |
| set.RISK.NAME<- | Set the name for the file with the risk matrix |
| set.RISK.NAME<--method | Set the name for the file with the risk matrix |
| set.RISK.NAME<--methods | Set the name for the file with the risk matrix |
| set.save.memory<- | Set the state of 'save.memory' |
| set.save.memory<--method | Set the state of 'save.memory' |
| set.save.memory<--methods | Set the state of 'save.memory' |
| set.SEC.VAR.EST<- | Set the mode for sector variance estimation |
| set.SEC.VAR.EST<--method | Set the mode for sector variance estimation |
| set.SEC.VAR.EST<--methods | Set the mode for sector variance estimation |