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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0.1.7 by Alessandro Cimarelli, 2 years ago
Browse source code at https://github.com/cran/CreditRisk
Authors: Alessandro Cimarelli [aut, cre] , Nicolò Manca [aut]
Documentation: PDF Manual
MIT + file LICENSE license
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