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| crp.CSFP-package | CreditRisk+ Portfolio Model |
| a | Get the parameter 'a' of the model. |
| a-method | Get the parameter 'a' of the model. |
| a-methods | Get the parameter 'a' of the model. |
| alpha | Get the desired VaR level of the model. |
| alpha-method | Get the desired VaR level of the model. |
| alpha-methods | Get the desired VaR level of the model. |
| alpha.crp | Get the maximum cdf levels for VaR of the model. |
| alpha.crp-method | Get the maximum cdf levels for VaR of the model. |
| alpha.crp-methods | Get the maximum cdf levels for VaR of the model. |
| alpha.max | Get the maximum cdf level for loss distribution |
| alpha.max-method | Get the maximum cdf level for loss distribution |
| alpha.max-methods | Get the maximum cdf level for loss distribution |
| alpha.max<- | Set the maximal desired cdf level |
| alpha.max<--method | Set the maximal desired cdf level |
| alpha.max<--methods | Set the maximal desired cdf level |
| alpha<- | Set the cdf level(s) for VaR |
| alpha<--method | Set the cdf level(s) for VaR |
| alpha<--methods | Set the cdf level(s) for VaR |
| B | Get the parameter 'B' of the model. |
| B-method | Get the parameter 'B' of the model. |
| B-methods | Get the parameter 'B' of the model. |
| calc.portfolio.statistics | Calculating portfolio statistics |
| calc.portfolio.statistics-method | Calculating portfolio statistics |
| calc.portfolio.statistics-methods | Calculating portfolio statistics |
| calc.rc | Set the state of 'calc.rc' |
| calc.rc-method | Set the state of 'calc.rc' |
| calc.rc-methods | Set the state of 'calc.rc' |
| calc.rc<- | Get the value of the 'calc.rc' |
| calc.rc<--method | Get the value of the 'calc.rc' |
| calc.rc<--methods | Get the value of the 'calc.rc' |
| CDF | Get the CDF of the model |
| CDF-method | Get the CDF of the model |
| CDF-methods | Get the CDF of the model |
| changes.calc.portfolio.statistics | Get the state of 'changes.calc.portfolio.statistics'. |
| changes.calc.portfolio.statistics-method | Get the state of 'changes.calc.portfolio.statistics'. |
| changes.calc.portfolio.statistics-methods | Get the state of 'changes.calc.portfolio.statistics'. |
| changes.export | Get the state of 'changes.export' |
| changes.export-method | Get the state of 'changes.export' |
| changes.export-methods | Get the state of 'changes.export' |
| changes.loss | Get the state of 'changes.loss' |
| changes.loss-method | Get the state of 'changes.loss' |
| changes.loss-methods | Get the state of 'changes.loss' |
| changes.measure | Get the state of 'changes.measure' |
| changes.measure-method | Get the state of 'changes.measure' |
| changes.measure-methods | Get the state of 'changes.measure' |
| changes.plausi | Get the state of 'changes.plausi' |
| changes.plausi-method | Get the state of 'changes.plausi' |
| changes.plausi-methods | Get the state of 'changes.plausi' |
| changes.plot | Get the state of 'changes.plot' |
| changes.plot-method | Get the state of 'changes.plot' |
| changes.plot-methods | Get the state of 'changes.plot' |
| changes.rc.sd | Get the state of 'changes.rc.sd' |
| changes.rc.sd-method | Get the state of 'changes.rc.sd' |
| changes.rc.sd-methods | Get the state of 'changes.rc.sd' |
| changes.rc.vares | Get the state of 'changes.rc.vares' |
| changes.rc.vares-method | Get the state of 'changes.rc.vares' |
| changes.rc.vares-methods | Get the state of 'changes.rc.vares' |
| changes.read | Get the state of 'changes.read' |
| changes.read-method | Get the state of 'changes.read' |
| changes.read-methods | Get the state of 'changes.read' |
| CP.NR | Get the ID numbers of the counterparties of the model |
| CP.NR-method | Get the ID numbers of the counterparties of the model |
| CP.NR-methods | Get the ID numbers of the counterparties of the model |
| CP.NR<- | Set the ID numbers of the counterparties in the model |
| CP.NR<--method | Set the ID numbers of the counterparties in the model |
| CP.NR<--methods | Set the ID numbers of the counterparties in the model |
| CP.rating | Get counterparties ratings |
| CP.rating-method | Get counterparties ratings |
| CP.rating-methods | Get counterparties ratings |
| CP.rating<- | Set counterparties ratings |
| CP.rating<--method | Set counterparties ratings |
| CP.rating<--methods | Set counterparties ratings |
| crp.calc.portfolio.statistics | Calculating portfolio statistics |
| crp.calc.portfolio.statistics-method | Calculating portfolio statistics |
| crp.CSFP | Main routine for CSFP-model |
| crp.CSFP-class | Class '"crp.CSFP"' |
| crp.CSFP-method | Main routine for CSFP-model |
| crp.CSFP-methods | Main routine for CSFP-model |
| crp.CSFP.loss | Calculating the loss distribution |
| crp.CSFP.loss-method | Calculating the loss distribution |
| crp.CSFP.rc.sd | Calculating risk contributions to standard deviation |
| crp.CSFP.rc.sd-method | Calculating risk contributions to standard deviation |
| crp.CSFP.rc.vares | Calculating risk contributions to VaR and ES |
| crp.CSFP.rc.vares-method | Calculating risk contributions to VaR and ES |
| crp.export | Export risk contributions and loss distribution |
| crp.export-method | Export risk contributions and loss distribution |
| crp.init | Initializing a new entity of class crp.CSFP |
| crp.measure | Calculating portfolio measures |
| crp.measure-method | Calculating portfolio measures |
| crp.plausi | Checking input data for plausibility |
| crp.plausi-method | Checking input data for plausibility |
| crp.plot | Plotting the PDF |
| crp.plot-method | Plotting the PDF |
| crp.read | Reading the input files |
| crp.read-method | Reading the input files |
| crp.round | Rounding numerical values |
| crp.set.changes | Internal method for model integrity |
| crp.set.changes-method | Internal method for model integrity |
| crp.summary | Summarize portfolio key numbers |
| crp.summary-method | Summarize portfolio key numbers |
| crp.write.summary | Writing summary to file |
| crp.write.summary-method | Writing summary to file |
| crp.write.summary-methods | Writing summary to file |
| EC | Get the economic capital of the model |
| EC-method | Get the economic capital of the model |
| EC-methods | Get the economic capital of the model |
| EL | Get the expected loss of the model |
| EL-method | Get the expected loss of the model |
| EL-methods | Get the expected loss of the model |
| EL.crp | Get the expected loss of the model after discretization. |
| EL.crp-method | Get the expected loss of the model after discretization. |
| EL.crp-methods | Get the expected loss of the model after discretization. |
| ES | Get the expected shortfall of the model |
| ES-method | Get the expected shortfall of the model |
| ES-methods | Get the expected shortfall of the model |
| ES.cont | Get the expected shortfall contributions |
| ES.cont-method | Get the expected shortfall contributions |
| ES.cont-methods | Get the expected shortfall contributions |
| ES.tau.cont | Get the corresponding tau for expected shortfall contributions |
| ES.tau.cont-method | Get the corresponding tau for expected shortfall contributions |
| ES.tau.cont-methods | Get the corresponding tau for expected shortfall contributions |
| export | Export risk contributions and loss distribution |
| export-method | Export risk contributions and loss distribution |
| export-methods | Export risk contributions and loss distribution |
| export.to.file | Get the status of 'export.to.file' |
| export.to.file-method | Get the status of 'export.to.file' |
| export.to.file-methods | Get the status of 'export.to.file' |
| export.to.file<- | Set the state of 'export to file' |
| export.to.file<--method | Set the state of 'export to file' |
| export.to.file<--methods | Set the state of 'export to file' |
| file.format | Get the file format of the model |
| file.format-method | Get the file format of the model |
| file.format-methods | Get the file format of the model |
| file.format<- | Set the file format |
| file.format<--method | Set the file format |
| file.format<--methods | Set the file format |
| fo | Function to convert numerical output. |
| get.a | Get the parameter 'a' of the model. |
| get.a-method | Get the parameter 'a' of the model. |
| get.ALPHA | Get the desired VaR level of the model. |
| get.ALPHA-method | Get the desired VaR level of the model. |
| get.ALPHA.crp | Get the maximum cdf levels for VaR of the model. |
| get.ALPHA.crp-method | Get the maximum cdf levels for VaR of the model. |
| get.ALPHA.MAX | Get the maximum cdf level for loss distribution |
| get.ALPHA.MAX-method | Get the maximum cdf level for loss distribution |
| get.B | Get the parameter 'B' of the model. |
| get.B-method | Get the parameter 'B' of the model. |
| get.CALC.RISK.CONT | Set the state of 'calc.rc' |
| get.CALC.RISK.CONT-method | Set the state of 'calc.rc' |
| get.CDF | Get the CDF of the model |
| get.CDF-method | Get the CDF of the model |
| get.changes.crp.calc.portfolio.statistics | Get the state of 'changes.calc.portfolio.statistics'. |
| get.changes.crp.calc.portfolio.statistics-method | Get the state of 'changes.calc.portfolio.statistics'. |
| get.changes.crp.CSFP.loss | Get the state of 'changes.loss' |
| get.changes.crp.CSFP.loss-method | Get the state of 'changes.loss' |
| get.changes.crp.CSFP.rc.sd | Get the state of 'changes.rc.sd' |
| get.changes.crp.CSFP.rc.sd-method | Get the state of 'changes.rc.sd' |
| get.changes.crp.CSFP.rc.vares | Get the state of 'changes.rc.vares' |
| get.changes.crp.CSFP.rc.vares-method | Get the state of 'changes.rc.vares' |
| get.changes.crp.export | Get the state of 'changes.export' |
| get.changes.crp.export-method | Get the state of 'changes.export' |
| get.changes.crp.measure | Get the state of 'changes.measure' |
| get.changes.crp.measure-method | Get the state of 'changes.measure' |
| get.changes.crp.plausi | Get the state of 'changes.plausi' |
| get.changes.crp.plausi-method | Get the state of 'changes.plausi' |
| get.changes.crp.plot | Get the state of 'changes.plot' |
| get.changes.crp.plot-method | Get the state of 'changes.plot' |
| get.changes.crp.read | Get the state of 'changes.read' |
| get.changes.crp.read-method | Get the state of 'changes.read' |
| get.CP.NR | Get the ID numbers of the counterparties of the model |
| get.CP.NR-method | Get the ID numbers of the counterparties of the model |
| get.CP.RATING | Get counterparties ratings |
| get.CP.RATING-method | Get counterparties ratings |
| get.EC | Get the economic capital of the model |
| get.EC-method | Get the economic capital of the model |
| get.EL | Get the expected loss of the model |
| get.EL-method | Get the expected loss of the model |
| get.EL.crp | Get the expected loss of the model after discretization. |
| get.EL.crp-method | Get the expected loss of the model after discretization. |
| get.ES | Get the expected shortfall of the model |
| get.ES-method | Get the expected shortfall of the model |
| get.ES.CONT | Get the expected shortfall contributions |
| get.ES.CONT-method | Get the expected shortfall contributions |
| get.ES.TAU.CONT | Get the corresponding tau for expected shortfall contributions |
| get.ES.TAU.CONT-method | Get the corresponding tau for expected shortfall contributions |
| get.file.format | Get the file format of the model |
| get.file.format-method | Get the file format of the model |
| get.LGD | Get the loss given defaults of the model |
| get.LGD-method | Get the loss given defaults of the model |
| get.LOSS | Get the several losses (exposure bands) of the model |
| get.LOSS-method | Get the several losses (exposure bands) of the model |
| get.LOSS.UNIT | Get the loss unit of the model |
| get.LOSS.UNIT-method | Get the loss unit of the model |
| get.M | Get the number of iterations for loss distribution |
| get.M-method | Get the number of iterations for loss distribution |
| get.MU.K | Get the expected number of defauls per sector |
| get.MU.K-method | Get the expected number of defauls per sector |
| get.NAME | Get the name of the model |
| get.NAME-method | Get the name of the model |
| get.NC | Get the number of counterparties in the model |
| get.NC-method | Get the number of counterparties in the model |
| get.NEX | Get the net exposure per counterparty |
| get.NEX-method | Get the net exposure per counterparty |
| get.NITER.MAX | Get the desired number of iterations or cdf level for loss distribution |
| get.NITER.MAX-method | Get the desired number of iterations or cdf level for loss distribution |
| get.NS | Get the number of sectors of the model |
| get.NS-method | Get the number of sectors of the model |
| get.NU | Get the discrete losses of the model |
| get.NU-method | Get the discrete losses of the model |
| get.PATH.IN | Get the input path of the model |
| get.PATH.IN-method | Get the input path of the model |
| get.PATH.OUT | Get the output path of the model |
| get.PATH.OUT-method | Get the output path of the model |
| get.PD | Get the counterparty probabilities of default after discretization |
| get.PD-method | Get the counterparty probabilities of default after discretization |
| get.PD0 | Get the counterparty probabilities of default of the model |
| get.PD0-method | Get the counterparty probabilities of default of the model |
| get.PDF | Get the PDF of the model |
| get.PDF-method | Get the PDF of the model |
| get.PDVAR.NAME | Set the name of the file with the sector variances |
| get.PDVAR.NAME-method | Set the name of the file with the sector variances |
| get.PL | Get the potetnial losses per counterparty after discretization |
| get.PL-method | Get the potetnial losses per counterparty after discretization |
| get.PL0 | Get the potetnial losses per counterparty |
| get.PL0-method | Get the potetnial losses per counterparty |
| get.PLOT.PDF | Get the state of 'PLOT.PDF' |
| get.PLOT.PDF-method | Get the state of 'PLOT.PDF' |
| get.PLOT.RANGE.X | Get the plot range for losses |
| get.PLOT.RANGE.X-method | Get the plot range for losses |
| get.PLOT.RANGE.Y | Get the plot range for probabilities |
| get.PLOT.RANGE.Y-method | Get the plot range for probabilities |
| get.PLOT.SCALE | Get the plot scale for losses |
| get.PLOT.SCALE-method | Get the plot scale for losses |
| get.PORT.NAME | Get the name of the portfolio file |
| get.PORT.NAME-method | Get the name of the portfolio file |
| get.rating | Get the rating classes of the model |
| get.rating-method | Get the rating classes of the model |
| get.rating.PD | Get the PDs of rating classes |
| get.rating.PD-method | Get the PDs of rating classes |
| get.rating.SD | Get the standard deviations corresponding to rating classes |
| get.rating.SD-method | Get the standard deviations corresponding to rating classes |
| get.RISK.NAME | Get the name of the file containing the risk matrix of the model |
| get.RISK.NAME-method | Get the name of the file containing the risk matrix of the model |
| get.save.memory | Get the state of 'save.memory' |
| get.save.memory-method | Get the state of 'save.memory' |
| get.SD | Get the standard deviation of the model |
| get.SD-method | Get the standard deviation of the model |
| get.SD.CONT | Get the contributions to standard deviation |
| get.SD.CONT-method | Get the contributions to standard deviation |
| get.SD.crp | Get the discretized standard deviation of loss distribution |
| get.SD.crp-method | Get the discretized standard deviation of loss distribution |
| get.SEC.VAR | Get self estimated sector variances |
| get.SEC.VAR-method | Get self estimated sector variances |
| get.SEC.VAR.EST | Get the mode for sector variance estimation |
| get.SEC.VAR.EST-method | Get the mode for sector variance estimation |
| get.SELV | Get the position of value at risk in CDF |
| get.SELV-method | Get the position of value at risk in CDF |
| get.SIGMA.K | Get the sector standard deviation |
| get.SIGMA.K-method | Get the sector standard deviation |
| get.SIGMA2_DIV | Get the diversifiable risk of the model |
| get.SIGMA2_DIV-method | Get the diversifiable risk of the model |
| get.SIGMA2_SYST | Get the systematik risk of the model |
| get.SIGMA2_SYST-method | Get the systematik risk of the model |
| get.V.K | Get the expected loss per sector |
| get.V.K-method | Get the expected loss per sector |
| get.VaR | Get the value at risk of the model |
| get.VaR-method | Get the value at risk of the model |
| get.VaR.CONT | Get the value at risk contributions on counterparty level |
| get.VaR.CONT-method | Get the value at risk contributions on counterparty level |
| get.W | Get the sector weights of counterparties |
| get.W-method | Get the sector weights of counterparties |
| init | Initializing a new entity of class crp.CSFP |
| integrity.check | Internal method to ensure model integrity |
| integrity.check-method | Internal method to ensure model integrity |
| integrity.check-methods | Internal method to ensure model integrity |
| LGD | Get the loss given defaults of the model |
| LGD-method | Get the loss given defaults of the model |
| LGD-methods | Get the loss given defaults of the model |
| LGD<- | Set the counterparty specific LGDs |
| LGD<--method | Set the counterparty specific LGDs |
| LGD<--methods | Set the counterparty specific LGDs |
| loss | Get the several losses (exposure bands) of the model |
| loss-method | Get the several losses (exposure bands) of the model |
| loss-methods | Get the several losses (exposure bands) of the model |
| loss.dist | Calculating the loss distribution |
| loss.dist-method | Calculating the loss distribution |
| loss.dist-methods | Calculating the loss distribution |
| loss.k | Get the expected loss per sector |
| loss.k-method | Get the expected loss per sector |
| loss.k-methods | Get the expected loss per sector |
| loss.unit | Get the loss unit of the model |
| loss.unit-method | Get the loss unit of the model |
| loss.unit-methods | Get the loss unit of the model |
| loss.unit<- | Set the loss unit |
| loss.unit<--method | Set the loss unit |
| loss.unit<--methods | Set the loss unit |
| M | Get the number of iterations for loss distribution |
| M-method | Get the number of iterations for loss distribution |
| M-methods | Get the number of iterations for loss distribution |
| measure | Calculating portfolio measures |
| measure-method | Calculating portfolio measures |
| measure-methods | Calculating portfolio measures |
| mu.k | Get the expected number of defauls per sector |
| mu.k-method | Get the expected number of defauls per sector |
| mu.k-methods | Get the expected number of defauls per sector |
| name | Get the name of the model |
| name-method | Get the name of the model |
| name-methods | Get the name of the model |
| name<- | Set the name of the model |
| name<--method | Set the name of the model |
| name<--methods | Set the name of the model |
| NC | Get the number of counterparties in the model |
| NC-method | Get the number of counterparties in the model |
| NC-methods | Get the number of counterparties in the model |
| NEX | Get the net exposure per counterparty |
| NEX-method | Get the net exposure per counterparty |
| NEX-methods | Get the net exposure per counterparty |
| NEX<- | Set the net exposure per counterparty |
| NEX<--method | Set the net exposure per counterparty |
| NEX<--methods | Set the net exposure per counterparty |
| Niter.max | Get the desired number of iterations or cdf level for loss distribution |
| Niter.max-method | Get the desired number of iterations or cdf level for loss distribution |
| Niter.max-methods | Get the desired number of iterations or cdf level for loss distribution |
| Niter.max<- | Set the maximal number of iterations or desired cdf level |
| Niter.max<--method | Set the maximal number of iterations or desired cdf level |
| Niter.max<--methods | Set the maximal number of iterations or desired cdf level |
| NS | Get the number of sectors of the model |
| NS-method | Get the number of sectors of the model |
| NS-methods | Get the number of sectors of the model |
| nu | Get the discrete losses of the model |
| nu-method | Get the discrete losses of the model |
| nu-methods | Get the discrete losses of the model |
| path.in | Get the input path of the model |
| path.in-method | Get the input path of the model |
| path.in-methods | Get the input path of the model |
| path.in<- | Set input path |
| path.in<--method | Set input path |
| path.in<--methods | Set input path |
| path.out | Get the output path of the model |
| path.out-method | Get the output path of the model |
| path.out-methods | Get the output path of the model |
| path.out<- | Set output path |
| path.out<--method | Set output path |
| path.out<--methods | Set output path |
| PD | Get the counterparty probabilities of default of the model |
| PD-method | Get the counterparty probabilities of default of the model |
| PD-methods | Get the counterparty probabilities of default of the model |
| PD.crp | Get the counterparty probabilities of default after discretization |
| PD.crp-method | Get the counterparty probabilities of default after discretization |
| PD.crp-methods | Get the counterparty probabilities of default after discretization |
| Get the PDF of the model | |
| PDF-method | Get the PDF of the model |
| PDF-methods | Get the PDF of the model |
| pd_sector_var | Sector variances for the Credit Suisse example portfolio |
| PL | Get the potetnial losses per counterparty |
| PL-method | Get the potetnial losses per counterparty |
| PL-methods | Get the potetnial losses per counterparty |
| PL.crp | Get the potetnial losses per counterparty after discretization |
| PL.crp-method | Get the potetnial losses per counterparty after discretization |
| PL.crp-methods | Get the potetnial losses per counterparty after discretization |
| plausi | Checking input data for plausibility |
| plausi-method | Checking input data for plausibility |
| plausi-methods | Checking input data for plausibility |
| plot | Plotting the PDF |
| plot-method | Plotting the PDF |
| plot-methods | Plotting the PDF |
| PLOT.PDF | Get the state of 'PLOT.PDF' |
| PLOT.PDF-method | Get the state of 'PLOT.PDF' |
| PLOT.PDF-methods | Get the state of 'PLOT.PDF' |
| PLOT.PDF<- | Set the state of 'PLOT.PDF' |
| PLOT.PDF<--method | Set the state of 'PLOT.PDF' |
| PLOT.PDF<--methods | Set the state of 'PLOT.PDF' |
| PLOT.range.x | Get the plot range for losses |
| PLOT.range.x-method | Get the plot range for losses |
| PLOT.range.x-methods | Get the plot range for losses |
| PLOT.range.x<- | Set the plot range for the losses |
| PLOT.range.x<--method | Set the plot range for the losses |
| PLOT.range.x<--methods | Set the plot range for the losses |
| PLOT.range.y | Get the plot range for probabilities |
| PLOT.range.y-method | Get the plot range for probabilities |
| PLOT.range.y-methods | Get the plot range for probabilities |
| PLOT.range.y<- | Set the plot range for the probabilities |
| PLOT.range.y<--method | Set the plot range for the probabilities |
| PLOT.range.y<--methods | Set the plot range for the probabilities |
| PLOT.scale | Get the plot scale for losses |
| PLOT.scale-method | Get the plot scale for losses |
| PLOT.scale-methods | Get the plot scale for losses |
| PLOT.scale<- | Set the plot scale for portfolio losses |
| PLOT.scale<--method | Set the plot scale for portfolio losses |
| PLOT.scale<--methods | Set the plot scale for portfolio losses |
| port.name | Get the name of the portfolio file |
| port.name-method | Get the name of the portfolio file |
| port.name-methods | Get the name of the portfolio file |
| port.name<- | Set the name for the portfolio file |
| port.name<--method | Set the name for the portfolio file |
| port.name<--methods | Set the name for the portfolio file |
| portfolio | Portfolio data for the Credit Suisse example portfolio |
| rating | Get the rating classes of the model |
| rating-method | Get the rating classes of the model |
| rating-methods | Get the rating classes of the model |
| rating.PD | Get the PDs of rating classes |
| rating.PD-method | Get the PDs of rating classes |
| rating.PD-methods | Get the PDs of rating classes |
| rating.PD<- | Set the PDs for rating classes |
| rating.PD<--method | Set the PDs for rating classes |
| rating.PD<--methods | Set the PDs for rating classes |
| rating.scale.name | Get the name of the file containing the risk matrix of the model |
| rating.scale.name-method | Get the name of the file containing the risk matrix of the model |
| rating.scale.name-methods | Get the name of the file containing the risk matrix of the model |
| rating.scale.name<- | Set the name for the file containing the rating scale |
| rating.scale.name<--method | Set the name for the file containing the rating scale |
| rating.scale.name<--methods | Set the name for the file containing the rating scale |
| rating.SD | Get the standard deviations corresponding to rating classes |
| rating.SD-method | Get the standard deviations corresponding to rating classes |
| rating.SD-methods | Get the standard deviations corresponding to rating classes |
| rating.SD<- | Set the standard deviations corresponding to rating classes |
| rating.SD<--method | Set the standard deviations corresponding to rating classes |
| rating.SD<--methods | Set the standard deviations corresponding to rating classes |
| rating<- | Set the rating classes of the model |
| rating<--method | Set the rating classes of the model |
| rating<--methods | Set the rating classes of the model |
| rating_pd | Risk matrix for the Credit Suisse example portfolio |
| rc.sd | Calculating risk contributions to standard deviation |
| rc.sd-method | Calculating risk contributions to standard deviation |
| rc.sd-methods | Calculating risk contributions to standard deviation |
| rc.vares | Calculating risk contributions to VaR and ES |
| rc.vares-method | Calculating risk contributions to VaR and ES |
| rc.vares-methods | Calculating risk contributions to VaR and ES |
| read | Reading the input files |
| read-method | Reading the input files |
| read-methods | Reading the input files |
| save.memory | Get the state of 'save.memory' |
| save.memory-method | Get the state of 'save.memory' |
| save.memory-methods | Get the state of 'save.memory' |
| save.memory<- | Set the state of 'save.memory' |
| save.memory<--method | Set the state of 'save.memory' |
| save.memory<--methods | Set the state of 'save.memory' |
| SD | Get the standard deviation of the model |
| SD-method | Get the standard deviation of the model |
| SD-methods | Get the standard deviation of the model |
| SD.cont | Get the contributions to standard deviation |
| SD.cont-method | Get the contributions to standard deviation |
| SD.cont-methods | Get the contributions to standard deviation |
| SD.crp | Get the discretized standard deviation of loss distribution |
| SD.crp-method | Get the discretized standard deviation of loss distribution |
| SD.crp-methods | Get the discretized standard deviation of loss distribution |
| sec.var | Get self estimated sector variances |
| sec.var-method | Get self estimated sector variances |
| sec.var-methods | Get self estimated sector variances |
| sec.var.est | Get the mode for sector variance estimation |
| sec.var.est-method | Get the mode for sector variance estimation |
| sec.var.est-methods | Get the mode for sector variance estimation |
| sec.var.est<- | Set the mode for sector variance estimation |
| sec.var.est<--method | Set the mode for sector variance estimation |
| sec.var.est<--methods | Set the mode for sector variance estimation |
| sec.var.name | Set the name of the file with the sector variances |
| sec.var.name-method | Set the name of the file with the sector variances |
| sec.var.name-methods | Set the name of the file with the sector variances |
| sec.var.name<- | Set the name of the file with the sector variances |
| sec.var.name<--method | Set the name of the file with the sector variances |
| sec.var.name<--methods | Set the name of the file with the sector variances |
| sec.var<- | Set self estimated sector variances |
| sec.var<--method | Set self estimated sector variances |
| sec.var<--methods | Set self estimated sector variances |
| set.ALPHA<- | Set the cdf level(s) for VaR |
| set.ALPHA<--method | Set the cdf level(s) for VaR |
| set.CALC.RISK.CONT<- | Get the value of the 'calc.rc' |
| set.CALC.RISK.CONT<--method | Get the value of the 'calc.rc' |
| set.changes | Internal method for model integrity |
| set.changes-method | Internal method for model integrity |
| set.changes-methods-method | Internal method for model integrity |
| set.file.format<- | Set the file format |
| set.file.format<--method | Set the file format |
| set.LOSS.UNIT<- | Set the loss unit |
| set.LOSS.UNIT<--method | Set the loss unit |
| set.NAME<- | Set the name of the model |
| set.NAME<--method | Set the name of the model |
| set.NITER.MAX<- | Set the maximal number of iterations or desired cdf level |
| set.NITER.MAX<--method | Set the maximal number of iterations or desired cdf level |
| set.PATH.IN<- | Set input path |
| set.PATH.IN<--method | Set input path |
| set.PATH.OUT<- | Set output path |
| set.PATH.OUT<--method | Set output path |
| set.PDVAR.NAME<- | Set the name of the file with the sector variances |
| set.PDVAR.NAME<--method | Set the name of the file with the sector variances |
| set.PLOT.PDF<- | Set the state of 'PLOT.PDF' |
| set.PLOT.PDF<--method | Set the state of 'PLOT.PDF' |
| set.PLOT.RANGE.X<- | Set the plot range for the losses |
| set.PLOT.RANGE.X<--method | Set the plot range for the losses |
| set.PLOT.RANGE.Y<- | Set the plot range for the probabilities |
| set.PLOT.RANGE.Y<--method | Set the plot range for the probabilities |
| set.PLOT.SCALE<- | Set the plot scale for portfolio losses |
| set.PLOT.SCALE<--method | Set the plot scale for portfolio losses |
| set.PORT.NAME<- | Set the name for the portfolio file |
| set.PORT.NAME<--method | Set the name for the portfolio file |
| set.RISK.NAME<- | Set the name for the file containing the rating scale |
| set.RISK.NAME<--method | Set the name for the file containing the rating scale |
| set.save.memory<- | Set the state of 'save.memory' |
| set.save.memory<--method | Set the state of 'save.memory' |
| set.SEC.VAR.EST<- | Set the mode for sector variance estimation |
| set.SEC.VAR.EST<--method | Set the mode for sector variance estimation |
| show | Show summary of object crp.CSFP |
| show-method | Show summary of object crp.CSFP |
| show-methods | Show summary of object crp.CSFP |
| sigma.k | Get the sector standard deviation |
| sigma.k-method | Get the sector standard deviation |
| sigma.k-methods | Get the sector standard deviation |
| sigma.sqr.div | Get the diversifiable risk of the model |
| sigma.sqr.div-method | Get the diversifiable risk of the model |
| sigma.sqr.div-methods | Get the diversifiable risk of the model |
| sigma.sqr.syst | Get the systematik risk of the model |
| sigma.sqr.syst-method | Get the systematik risk of the model |
| sigma.sqr.syst-methods | Get the systematik risk of the model |
| sigma_k | Get the sector standard deviation |
| sigma_k-method | Get the sector standard deviation |
| sigma_k-methods | Get the sector standard deviation |
| sigma_sqr_div | Get the diversifiable risk of the model |
| sigma_sqr_div-method | Get the diversifiable risk of the model |
| sigma_sqr_div-methods | Get the diversifiable risk of the model |
| sigma_sqr_syst | Get the systematik risk of the model |
| sigma_sqr_syst-method | Get the systematik risk of the model |
| sigma_sqr_syst-methods | Get the systematik risk of the model |
| summary | Summarize portfolio key numbers |
| summary-method | Summarize portfolio key numbers |
| summary-methods | Summarize portfolio key numbers |
| VaR | Get the value at risk of the model |
| VaR-method | Get the value at risk of the model |
| VaR-methods | Get the value at risk of the model |
| VaR.cont | Get the value at risk contributions on counterparty level |
| VaR.cont-method | Get the value at risk contributions on counterparty level |
| VaR.cont-methods | Get the value at risk contributions on counterparty level |
| VaR.pos | Get the position of value at risk in CDF |
| VaR.pos-method | Get the position of value at risk in CDF |
| VaR.pos-methods | Get the position of value at risk in CDF |
| W | Get the sector weights of counterparties |
| W-method | Get the sector weights of counterparties |
| W-methods | Get the sector weights of counterparties |
| W<- | Set the sector weights of counterparties |
| W<--method | Set the sector weights of counterparties |
| W<--methods | Set the sector weights of counterparties |
| write.summary | Writing summary to file |
| write.summary-method | Writing summary to file |
| write.summary-methods | Writing summary to file |