R: Generalized Credit Portfolio Model

# Generalized Credit Portfolio Model

## Documentation for package ‘GCPM’ version 1.2.2

- DESCRIPTION file

## Help Pages

A B C D E G I L M N P R S V W

GCPM-package | Generalized Credit Portfolio Model

## -- A --

alpha.max | Maximum CDF Level
alpha.max,GCPM | Maximum CDF Level
alpha.max-methods | Maximum CDF Level
analyze | Analyze a Credit Portfolio
analyze-method | Analyze a Credit Portfolio
analyze-methods | Analyze a Credit Portfolio

## -- B --

business | Counterparty Business Line
business-method | Counterparty Business Line
business-methods | Counterparty Business Line

## -- C --

CDF | Cumulative Distribution Function of Portfolio Loss
CDF-method | Cumulative Distribution Function of Portfolio Loss
CDF-methods | Cumulative Distribution Function of Portfolio Loss
country | Country Information
country-method | Country Information
country-methods | Country Information

## -- D --

default | Default Distribution
default-method | Default Distribution
default-methods | Default Distribution

## -- E --

EAD | Exposure at Default
EAD-method | Exposure at Default
EAD-methods | Exposure at Default
EC | Economic Capital
EC-method | Economic Capital
EC-methods | Economic Capital
EC.cont | Risk Contributions to Economic Capital
EC.cont-method | Risk Contributions to Economic Capital
EC.cont-methods | Risk Contributions to Economic Capital
EL | Expected Loss (from Loss Distribution)
EL-method | Expected Loss (from Loss Distribution)
EL-methods | Expected Loss (from Loss Distribution)
EL.analyt | Expected Loss (analytical)
EL.analyt-method | Expected Loss (analytical)
EL.analyt-methods | Expected Loss (analytical)
ES | Expected Shortfall
ES-method | Expected Shortfall
ES-methods | Expected Shortfall
ES.cont | Risk Contributions to Expected Shortfall
ES.cont-method | Risk Contributions to Expected Shortfall
ES.cont-methods | Risk Contributions to Expected Shortfall
export | Export Main Results
export-method | Export Main Results
export-methods | Export Main Results

## -- G --

GCPM | Generalized Credit Portfolio Model
GCPM-class | Class '"GCPM"'

## -- I --

idiosyncr | Idiosyncratic Risk Weights
idiosyncr-method | Idiosyncratic Risk Weights
idiosyncr-methods | Idiosyncratic Risk Weights
init | Initialize an Object of Class 'GCPM'

## -- L --

LGD | Loss Given Default
LGD-method | Loss Given Default
LGD-methods | Loss Given Default
LHR | Likelihood Ratio
LHR-method | Likelihood Ratio
LHR-methods | Likelihood Ratio
link.function | Model Link Function
link.function-method | Model Link Function
link.function-methods | Model Link Function
loss | Loss Levels
loss-method | Loss Levels
loss-methods | Loss Levels
loss.thr | Threshold of Saved Portfolio Loss
loss.thr-method | Threshold of Saved Portfolio Loss
loss.thr-methods | Threshold of Saved Portfolio Loss
loss.unit | Loss Unit
loss.unit-method | Loss Unit
loss.unit-methods | Loss Unit

## -- M --

model.type | Model Type
model.type-method | Model Type
model.type-methods | Model Type

## -- N --

N | Number of Simulations
N-method | Number of Simulations
N-methods | Number of Simulations
name | Counterparty Names
name-method | Counterparty Names
name-methods | Counterparty Names
NC | Number of Counterparties
NC-method | Number of Counterparties
NC-methods | Number of Counterparties
NR | Counterparty IDs
NR-method | Counterparty IDs
NR-methods | Counterparty IDs
NS | Number of Sectors
NS-method | Number of Sectors
NS-methods | Number of Sectors

## -- P --

PD | Counterparty Probability of Default
PD-method | Counterparty Probability of Default
PD-methods | Counterparty Probability of Default
PDF | Probability Density Function
PDF-method | Probability Density Function
PDF-methods | Probability Density Function
PL | Counterparty Potential Loss
PL-method | Counterparty Potential Loss
PL-methods | Counterparty Potential Loss
plot | Plot of the Portfolio Loss Distribution
plot-method | Plot of the Portfolio Loss Distribution
plot-methods | Plot of the Portfolio Loss Distribution
portfolio.pois | Example Portfolio Data with Poisson Default Mode
portfolio.pool | Pooled Portfolio
portfolios | Example Portfolios for GCPM Package

## -- R --

random.numbers | Sector Drawings
random.numbers-method | Sector Drawings
random.numbers-methods | Sector Drawings

## -- S --

SD | Standard Deviation (Loss Distribution)
SD-method | Standard Deviation (Loss Distribution)
SD-methods | Standard Deviation (Loss Distribution)
SD.analyt | Standard Deviation (from Portfolio Data)
SD.analyt-method | Standard Deviation (from Portfolio Data)
SD.analyt-methods | Standard Deviation (from Portfolio Data)
SD.cont | Risk Contributions to Portfolio Standard Deviation
SD.cont-method | Risk Contributions to Portfolio Standard Deviation
SD.cont-methods | Risk Contributions to Portfolio Standard Deviation
SD.div | Diversifiable Risk (Standard Deviation)
SD.div-method | Diversifiable Risk (Standard Deviation)
SD.div-methods | Diversifiable Risk (Standard Deviation)
SD.syst | Systemic Risk (Standard Deviation)
SD.syst-method | Systemic Risk (Standard Deviation)
SD.syst-methods | Systemic Risk (Standard Deviation)
sec.var | Sector Variances
sec.var-method | Sector Variances
sec.var-methods | Sector Variances
sector.names | Sector Names
sector.names-method | Sector Names
sector.names-methods | Sector Names
seed | Random Number Seed
seed-method | Random Number Seed
seed-methods | Random Number Seed
show-method | Show Parameters of Credit Portfolio Model
show-methods | Show Parameters of Credit Portfolio Model
summary | Model summary
summary-method | Model summary
summary-methods | Model summary

## -- V --

VaR | Portfolio Value at Risk
VaR-method | Portfolio Value at Risk
VaR-methods | Portfolio Value at Risk
VaR.cont | Risk Contributions to Portfolio Value at Risk
VaR.cont-method | Risk Contributions to Portfolio Value at Risk
VaR.cont-methods | Risk Contributions to Portfolio Value at Risk

## -- W --

W | Sector Weights
W-method | Sector Weights
W-methods | Sector Weights