Dear R useRs, A new package 'CreditMetrics' is now available on CRAN. It is mainly a set of functions for computing the CreditMetrics risk model.
This is the first version of the package and it is also my first try to build a package for R. The canonical reference is: Glasserman, Paul, Monte Carlo Methods in Financial Engineering, Springer 2004 Suggestions, bug reports and other comments are very welcome. enjoy and best regards Andreas _______________________________________________ R-packages mailing list [email protected] https://stat.ethz.ch/mailman/listinfo/r-packages ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
