Evaluation of Credit Risk with Structural and Reduced Form Models


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Documentation for package ‘CreditRisk’ version 0.1.3

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at1p Analytically - Tractable First Passage (AT1P) model
BlackCox Black and Cox's model
calibrate.at1p AT1P model calibration to market CDS data
calibrate.BlackCox Black and Cox model calibration to market CDS data
calibrate.cds Calibrate the default intensities to market CDS data
calibrate.sbtv SBTV model calibration to market CDS data
cds Calculates Credit Default Swap rates
cds2 Calculate Credit Default Swap rates
cdsdata CDS quotes from market
Merton Merton's model
Merton.sim Firm value in Merton's model
sbtv Scenario Barrier Time-Varying Volatility AT1P model