R: Evaluation of Credit Risk with Structural and Reduced Form Models

# Evaluation of Credit Risk with Structural and Reduced Form Models

## Documentation for package ‘CreditRisk’ version 0.1.7

- DESCRIPTION file.

## Help Pages

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