[R-SIG-Finance] CreditRisk+

[Brian G. Peterson]

Sergi Martínez wrote:
>  <r-sig-finance at stat.math.ethz.ch>
> I know that your time is valuable, therefore I will be brief.
> 
> I am looking for some packages that it has implemented the CreditRisk+ model
> in R by any of its variants (FFT, the Saddle Point approximation and the
> Panjer recursion), for one or several sectors.

Have you looked at the 'creditmetrics' package?  creditrisk+ and 
creditmetrics have some very similar model capabilities.

http://cran.r-project.org/web/packages/CreditMetrics/index.html

Also, I assume you're referring to the CSFB CreditRisk+ product, and the 
models defined here:

http://www.csfb.com/institutional/research/assets/creditrisk.pdf

R has the function 'fft' for Fast Fourier Transform

The 'boot' package provides several saddle point distribution functions.

Several methods proposed by Panjer are available in the R package 'actuar'

Please share your results with this list as you experiment with these 
various functions.

Regards,

   - Brian