[R-SIG-Finance] FW: Questions related to R- Credit Risk

[Lisete Fernandes de Noronha (DGR)]

I am a new user of R software, and at the moment I am interested in applying "R" to calculate Credit Risk measures.

I have already been in contact with Andreas Wittmann (responsible for CreditMetrics package). Nevertheless, there are some doubts that I have which Andreas could not help me. 

Is it possible to get the answers for my questions?

1. Which package calculates lgd (loss given default)?

 2. Besides CreditMetrics package, which packages are related with 
 Credit Risk in order to calculate credit risk measures, as:

 -          Loss Distribution;
 -          VAR;
 -          Unexpected Losses:
 -          Risk Contribution


Thank you
Best regards,
Lisete Noronha


-----Original Message-----
From: Andreas Wittmann [mailto:andreas_wittmann at gmx.de] 
Sent: sexta-feira, 25 de Dezembro de 2009 8:24
To: Lisete Fernandes de Noronha (DGR)
Subject: Re: Questions related to R- Credit Risk

Hi Lisete,

sorry, but spontaneously i have no answers for your questions. please 
search the following mailing lists and if your questions cannot be 
answered, ask the questions there again.

https://stat.ethz.ch/mailman/listinfo/r-help
https://stat.ethz.ch/mailman/listinfo/r-sig-finance

best regards and merry christmans

Andreas




Lisete Fernandes de Noronha (DGR) wrote:
>
> Thanks for your help.
>
> Sorry, but I have more questions for you.
>
> 1. Can you tell me which package calculates lgd?
>
> 2. Besides CreditMetrics package, which packages are related with 
> Credit Risk in order to calculate credit risk measures, as:
>
> -          Loss Distribution;

> -          VAR;

> -          Unexpected Losses:

> -          Risk Contribution
>
> Best Regards,
>
> Lisete
>
>  
>
>  
>
> ------------------------------------------------------------------------
>
> *From:* Andreas Wittmann [mailto:andreas_wittmann at gmx.de]
> *Sent:* segunda-feira, 21 de Dezembro de 2009 18:00
> *To:* Lisete Fernandes de Noronha (DGR)
> *Subject:* Re: Questions related to R- Credit Risk
>
>  
>
> Dear Lisete,
>
> thank you for using the CreditMetrics package.
>
>    1. the pd is the probability of default, as you can see in the
>       migration matrix this is the last column without the last row.
>    2. the lgd is not calculated in this package, it is only an input
>       parameter and actually it is only possibly to use the same lgd
>       for each rating.
>
>
> hope this helps.
>
> best regards
>
> Andreas
>
>
>