Dear Amy, 
Given the low development status of the R package for Credit metrics I 
have refrained from using it. I also found it left a lot of questions 
unanswered. A colleague and I are now ourselves developing something to 
model the risk of a credit portfolio (deposits + market values of 
derivatives, nothing fancy such as CDOs or similar) and will try to 
publish it later this year including an underlying simple (Access) 
database for description of the portfolio. For us it is more a program to 
test a commercially available product rather than develop a full credit 
portfolio model.

I think credit risk modelling in R still has a long way to go, and it 
should be undertaken more as a proper project (at least to get the 
underlying data structure harmonized and consistent with potential data 
sources such as BvD, Bloomberg, and a variety of CDS or Rating Providers) 
rather than a collection of single but unrelated packages modelling Credit 
Copulas. I really think that the credit modelling "war" is won on the data 
field, not the actual mathematical modelling, but that is just my humble 
opinion. But I have no doubt that within a year or two there will be 
something useful around.

Mit freundlichen Grüßen / Best Regards / Atenciosamente
Christian Langkamp
ZFK / RS, Bank Risk Management
Phone: +49 621 60-49225, Mobile: +49 173 3797649, Fax: +49 621 60-6649225, 
E-Mail: Christian.Langkamp@basf.com
Postal Address: BASF SE, ZFK/RS - C100, 67056 Ludwigshafen, Germany
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