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11_CreditRisk+.R
11_Credit_estimation.R
11_Credit_factor_models.R
11_Distribution_of_number_of_defaults_under_dependence.R
11_FFT_for_CF.R
11_Monte_Carlo_for_credit.R
README

README

### Suggested order of R scripts for Chapter 11

11_Distribution_of_number_of_defaults_under_dependence.R
   Computing the probability mass function (pmf) of the number of defaults under
   exchangeable one-factor Bernoulli mixture models.
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_estimation.R
   Estimating parameters of portfolio models from default data
11_Credit_factor_models.R
   Calibration of a typical industry-sector factor model to S&P stock return data
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