Dear All:

I have made two Excel files that cover the practical part of the
CreditMetrics Technical Document.
For computing the joint probability of default of two obligors (Chapter 8) I
use a public Visual Basic´s function labeled JointRating ( in Excel program
you should press Alt+F11 for seeing it ).

In addition, I wrote a paper about CreditRisk+ by FFT, last version is
freely available on www.ssrn.com at the following link:
http://papers.ssrn.com/abstract=1122844 . In order to close the gap between
theory and practical implementation. I provide VBA, MatLab and *R* codes
that present step-by-step examples of practical applications.

All the codes are freely available from the author on request.
The codes were meant to be a simplified version of the models to explain how
they work.

I hope my English is not too bad and hope to hear soon from you.

Greetings from Argentine
Mario R. Melchiori
http://mario.melchiori.googlepages.com/workingpapers
mrmelchi@grupobica.com.ar

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