i think rick's questions are more related to basel II instead of R and don't
think there is such a R package.
per my limited knowledge, there are many ways to calculate PD, EAD, and LGD,
either on portfolio level or on account level. So it really depends on how
you are going to estimate them. On the side of consumer credit risk, it
makes more sense to estimate 3 models on the account level, which should be
under the umbrella of GLM. While PD / LGD are well studied, EAD is not.
There are multiple ways to estimate EAD, such as LEQ/CCF/EADF, depending on
the characteristic of accounts.

2009/12/27 Cedrick W. Johnson <cedrick@cedrickjohnson.com>

> Howdy-
>
> You may want to check out the R-sig-finance list and search through the
> postings here:
> http://n4.nabble.com/Rmetrics-f925806.html
>
> There's quite a few packages in the CRAN taskviews as well:
>
> http://cran.r-project.org/web/views/Finance.html
>
> -cj
>
>
>
> Ricardo Gonçalves Silva wrote:
>
>> Hi,
>>
>> I'm currently beginning to use R for financial analysis (mainly Basel II
>> benchmarks) and I would like to know if any R-User can give me some initial
>> directions on packages and tutorials which I can use to calculate capital
>> requirements, default probabilities, and related stuff.
>>
>> Thanks in advance,
>>
>> Rick
>>        [[alternative HTML version deleted]]
>>
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>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>>
> ______________________________________________
> R-help@r-project.org 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.
>



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