Evaluation of Credit Risk with Structural and Reduced Form Models

Documentation for package ‘CreditRisk’ version 0.1.7

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
cum_normal_density	Cumulative Normal Distribution Function
generalized_black_scholes	Generalized Black-Scholes Option Pricing Model
Merton	Merton's model
Merton.sim	Firm value in Merton's model
sbtv	Scenario Barrier Time-Varying Volatility AT1P model