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### R scripts for Chapter 11

11_FFT_for_CF.R
   Illustrates how the characteristic function for a portfolio credit risk model can be inverted
   using Fast Fourier Transform (FFT) to obtain the probability mass function
11_CreditRisk+.R
   Calculation of the loss distribution for CreditRisk+ using the FFT
11_Monte_Carlo_for_credit.R
   Estimation of the loss distribution for one-factor Bernoulli mixture implied by a Gaussian
   threshold model using importance sampling
11_Credit_factor_models.R
   Calibration of a typical industry-sector factor model to S&P stock return data
11_Credit_estimation.R
   Estimating parameters of portfolio models from default data