CreditRisk

Evaluation of Credit Risk with Structural and Reduced Form Models

CRAN Package

Evaluation of default probability of sovereign and corporate entities based on structural or intensity based models and calibration on market Credit Default Swap quotes. References: Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013) . Print ISBN: 9780470748466, Online ISBN: 9781118818589. © 2013 John Wiley & Sons Ltd.


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