Package: GCPM
Type: Package
Title: Generalized Credit Portfolio Model
Version: 1.2.2
Date: 2016-12-29
Author: Kevin Jakob
Maintainer: Kevin Jakob <Kevin.Jakob.Research@gmail.com>
Description: 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.
License: GPL-2
Imports: Rcpp (>= 0.11.2), methods, RcppProgress(>= 0.1), parallel
LinkingTo: Rcpp, RcppProgress
SystemRequirements: Windows, Linux, OS X
NeedsCompilation: yes
Packaged: 2026-09-19 09:46:15 UTC; root
Repository: https://cran.r-universe.dev
Date/Publication: 2016-12-29 23:34:04 UTC
RemoteUrl: https://github.com/cran/GCPM
RemoteRef: HEAD
RemoteSha: 05f18bfb5029e7dbfe70360d4245b9c215a0f027
Built: R 4.6.0; wasm32-unknown-emscripten; 2026-09-19 09:48:18 UTC; unix
