 <r-sig-finance@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 sector.


Thanks in advance,

Sergi Martínez

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