[R-pkgs] New package CreditMetrics

Andreas Wittmann andreas_wittmann at gmx.de
Thu Oct 19 19:29:35 CEST 2006

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 

Suggestions, bug reports and other comments are very welcome.

enjoy and best regards

More information about the R-packages mailing list