CreditRisk+

[Mario Melchiori]

I answer the following post by Sergi Martinez written on *Fri Mar 14 2008:*

"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 "

I wrote a paper about CreditRisk+ titled "CreditRisk+ by FFT". The last
version published on August 2004 on
www.YieldCurve.com<mhtml:{A5EC76C1-6519-439F-922B-3BFCD590AD19}mid://00000000/!x-usc:http://www.yieldcurve.com/>
is available at
http://www.defaultrisk.com/pp_model_89.htm<mhtml:{A5EC76C1-6519-439F-922B-3BFCD590AD19}mid://00000000/!x-usc:http://www.defaultrisk.com/pp_model_89.htm>.
The
files alluded to in paper are freely available.

I hope my English is not too bad and hope this helps.

Greetings from Argentine
Mario R. Melchiori (
http://www.geocities.com/mrmelchi/index.htm<mhtml:{A5EC76C1-6519-439F-922B-3BFCD590AD19}mid://00000000/!x-usc:http://www.geocities.com/mrmelchi/index.htm>
)
mrmelchi@...<mhtml:{A5EC76C1-6519-439F-922B-3BFCD590AD19}mid://00000000/!x-usc:mailto:mrmelchi@...>

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