Generalized Credit Portfolio Model

---

Documentation for package ‘GCPM’ version 1.2.2

• DESCRIPTION file.

Help Pages

A B C D E G I L M N P R S V W

GCPM-package

Generalized Credit Portfolio Model

-- A --

alpha.max	Maximum CDF Level
alpha.max,GCPM	Maximum CDF Level
alpha.max-methods	Maximum CDF Level
analyze	Analyze a Credit Portfolio
analyze-method	Analyze a Credit Portfolio
analyze-methods	Analyze a Credit Portfolio

-- B --

business	Counterparty Business Line
business-method	Counterparty Business Line
business-methods	Counterparty Business Line

-- C --

CDF	Cumulative Distribution Function of Portfolio Loss
CDF-method	Cumulative Distribution Function of Portfolio Loss
CDF-methods	Cumulative Distribution Function of Portfolio Loss
country	Country Information
country-method	Country Information
country-methods	Country Information

-- D --

default	Default Distribution
default-method	Default Distribution
default-methods	Default Distribution

-- E --

EAD	Exposure at Default
EAD-method	Exposure at Default
EAD-methods	Exposure at Default
EC	Economic Capital
EC-method	Economic Capital
EC-methods	Economic Capital
EC.cont	Risk Contributions to Economic Capital
EC.cont-method	Risk Contributions to Economic Capital
EC.cont-methods	Risk Contributions to Economic Capital
EL	Expected Loss (from Loss Distribution)
EL-method	Expected Loss (from Loss Distribution)
EL-methods	Expected Loss (from Loss Distribution)
EL.analyt	Expected Loss (analytical)
EL.analyt-method	Expected Loss (analytical)
EL.analyt-methods	Expected Loss (analytical)
ES	Expected Shortfall
ES-method	Expected Shortfall
ES-methods	Expected Shortfall
ES.cont	Risk Contributions to Expected Shortfall
ES.cont-method	Risk Contributions to Expected Shortfall
ES.cont-methods	Risk Contributions to Expected Shortfall
export	Export Main Results
export-method	Export Main Results
export-methods	Export Main Results

-- G --

GCPM	Generalized Credit Portfolio Model
GCPM-class	Class '"GCPM"'

-- I --

idiosyncr	Idiosyncratic Risk Weights
idiosyncr-method	Idiosyncratic Risk Weights
idiosyncr-methods	Idiosyncratic Risk Weights
init	Initialize an Object of Class 'GCPM'

-- L --

LGD	Loss Given Default
LGD-method	Loss Given Default
LGD-methods	Loss Given Default
LHR	Likelihood Ratio
LHR-method	Likelihood Ratio
LHR-methods	Likelihood Ratio
link.function	Model Link Function
link.function-method	Model Link Function
link.function-methods	Model Link Function
loss	Loss Levels
loss-method	Loss Levels
loss-methods	Loss Levels
loss.thr	Threshold of Saved Portfolio Loss
loss.thr-method	Threshold of Saved Portfolio Loss
loss.thr-methods	Threshold of Saved Portfolio Loss
loss.unit	Loss Unit
loss.unit-method	Loss Unit
loss.unit-methods	Loss Unit

-- M --

model.type	Model Type
model.type-method	Model Type
model.type-methods	Model Type

-- N --

N	Number of Simulations
N-method	Number of Simulations
N-methods	Number of Simulations
name	Counterparty Names
name-method	Counterparty Names
name-methods	Counterparty Names
NC	Number of Counterparties
NC-method	Number of Counterparties
NC-methods	Number of Counterparties
NR	Counterparty IDs
NR-method	Counterparty IDs
NR-methods	Counterparty IDs
NS	Number of Sectors
NS-method	Number of Sectors
NS-methods	Number of Sectors

-- P --

PD	Counterparty Probability of Default
PD-method	Counterparty Probability of Default
PD-methods	Counterparty Probability of Default
PDF	Probability Density Function
PDF-method	Probability Density Function
PDF-methods	Probability Density Function
PL	Counterparty Potential Loss
PL-method	Counterparty Potential Loss
PL-methods	Counterparty Potential Loss
plot	Plot of the Portfolio Loss Distribution
plot-method	Plot of the Portfolio Loss Distribution
plot-methods	Plot of the Portfolio Loss Distribution
portfolio.pois	Example Portfolio Data with Poisson Default Mode
portfolio.pool	Pooled Portfolio
portfolios	Example Portfolios for GCPM Package

-- R --

random.numbers	Sector Drawings
random.numbers-method	Sector Drawings
random.numbers-methods	Sector Drawings

-- S --

SD	Standard Deviation (Loss Distribution)
SD-method	Standard Deviation (Loss Distribution)
SD-methods	Standard Deviation (Loss Distribution)
SD.analyt	Standard Deviation (from Portfolio Data)
SD.analyt-method	Standard Deviation (from Portfolio Data)
SD.analyt-methods	Standard Deviation (from Portfolio Data)
SD.cont	Risk Contributions to Portfolio Standard Deviation
SD.cont-method	Risk Contributions to Portfolio Standard Deviation
SD.cont-methods	Risk Contributions to Portfolio Standard Deviation
SD.div	Diversifiable Risk (Standard Deviation)
SD.div-method	Diversifiable Risk (Standard Deviation)
SD.div-methods	Diversifiable Risk (Standard Deviation)
SD.syst	Systemic Risk (Standard Deviation)
SD.syst-method	Systemic Risk (Standard Deviation)
SD.syst-methods	Systemic Risk (Standard Deviation)
sec.var	Sector Variances
sec.var-method	Sector Variances
sec.var-methods	Sector Variances
sector.names	Sector Names
sector.names-method	Sector Names
sector.names-methods	Sector Names
seed	Random Number Seed
seed-method	Random Number Seed
seed-methods	Random Number Seed
show-method	Show Parameters of Credit Portfolio Model
show-methods	Show Parameters of Credit Portfolio Model
summary	Model summary
summary-method	Model summary
summary-methods	Model summary

-- V --

VaR	Portfolio Value at Risk
VaR-method	Portfolio Value at Risk
VaR-methods	Portfolio Value at Risk
VaR.cont	Risk Contributions to Portfolio Value at Risk
VaR.cont-method	Risk Contributions to Portfolio Value at Risk
VaR.cont-methods	Risk Contributions to Portfolio Value at Risk

-- W --

W	Sector Weights
W-method	Sector Weights
W-methods	Sector Weights