I didn't think we were *that* grumpy around here. :)

I've used the CreditMetrics package in the past myself, and unless it's
changed significantly in recent months, I've found it a bit opaque. The
key to using this package is to figure out how to create a correct
ratings transition matrix. If the matrix is ill-defined, or if its rows
and columns don't sum to 1, you're going to be unable to run a CVaR
simulation. The package does come with an example for said CVaR
simulation, but I'm pretty sure that even S&P has changed its ratings
matrix since the Great Collective Pants-Soiling of 2008.

As for literature- the basic method used by the package is similar to
that used by KVM/CreditMetrics. There's also a (very long) technical
paper available here: http://www.defaultrisk.com/pp_model_20.htm. It
should tell you what you need to know about the model and how it
works... But it's a bit of a snoozer.

On Thu, 2010-06-03 at 05:36 -0700, Amy Milano wrote:

> Dear All,
> 
> This is my first post to this group. I need some guidnace as regards the CreditMetrics. I already have used the Creditmetrics(CRAN) package although I haven't understood it actually.
> 
> Iam 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 thehigh standardof this forum, I am extremely sorry for raising this topic on this forum, but I am sure this forum can easily guide me.
> 
> Regards
> 
> Amy
> 
> 
>       
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