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Class CreditRiskPlus

Extended CreditRisk+ model as described in [1] Integrating Correlations, Risk, July 1999 and the references therein.

warning the input correlation matrix is not checked for positive definiteness

Hierarchy

  • CreditRiskPlus

Index

Constructors

Properties

Methods

Constructors

constructor

  • Parameters

    Returns CreditRiskPlus

Properties

Private _correlation

_correlation: Matrix

Private _el

_el: Real

Private _el2

_el2: Real

Private _exposure

_exposure: Real[]

Private _exposureSum

_exposureSum: Real

Private _loss

_loss: Real[]

Private _m

_m: Size

Private _marginalLoss

_marginalLoss: Real[]

Private _n

_n: Size

Private _pd

_pd: Real[]

Private _relativeDefaultVariance

_relativeDefaultVariance: Real[]

Private _sector

_sector: Size[]

Private _sectorEl

_sectorEl: Real[]

Private _sectorExposure

_sectorExposure: Real[]

Private _sectorUl

_sectorUl: Real[]

Private _ul

_ul: Real

Private _unit

_unit: Real

Private _upperIndex

_upperIndex: Size

Methods

Private compute

  • compute(): void

  • Returns void

expectedLoss

  • expectedLoss(): Real

  • Returns Real

exposure

  • Returns Real

loss

  • Returns Real[]

lossQuantile

  • Parameters

    Returns Real

marginalLoss

  • marginalLoss(): Real[]

  • Returns Real[]

relativeDefaultVariance

  • relativeDefaultVariance(): Real

  • Returns Real

sectorExpectedLoss

  • sectorExpectedLoss(): Real[]

  • Returns Real[]

sectorExposures

  • sectorExposures(): Real[]

  • Returns Real[]

sectorUnexpectedLoss

  • sectorUnexpectedLoss(): Real[]

  • Returns Real[]

unexpectedLoss

  • unexpectedLoss(): Real

  • Returns Real