[R-SIG-Finance] CreditMetrics Methodology

Brian G. Peterson brian at braverock.com
Thu Jun 3 15:47:51 CEST 2010

On 06/03/2010 07:36 AM, Amy Milano wrote:
> Dear All,
> This is my first post to this group. I need some guidance as regards the CreditMetrics. I already have used the Creditmetrics (CRAN) package although I haven't understood it actually.
> I am reading  the Technical document of creditmetrics and I am flooded with lots of queries. I will be grateful if someone suggests some blog where these queries can be taken up and discussed or if some other resource can be tried which will help me to understand CreditMetrics methodology.
> Knowing the high standard of this forum, I am extremely sorry for raising this topic on this forum, but I am sure this forum can easily guide me.


Thank you for your deference, though I didn't think this list was quite that 
stuffy... (I know I've asked some pretty simple questions at times)

I've used the CreditMetrics package in the past to evaluate portfolios of fixed 
income securities, and while it is not as advanced as the functionality 
provided by Intex, it is free and open source.

In general, the technical documentation accompanying CreditMetrics should point 
to academic references for the various techniques provided there.

You can also search the list archives for queries about fixed income valuation. 
  The classic texts by Fabozzi, Hull, etc. should also be good guides.

If you have questions about these techniques after reading the underlying 
references and trying things, those are appropriate for this list or the 
package maintainers.  Ideally, you'll also follow the posting guidelines and 
provide a description of what you're trying to accomplish and the code you've 
tried to get to that point. This helps people help you, and then also helps 
others who come along later to find answers faster.


   - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

More information about the R-SIG-Finance mailing list