Dear R useRs,
A new package 'CreditMetrics' is now available on CRAN. It is mainly a
set of
functions for computing the CreditMetrics risk model.
This is the first version of the package and it is also my first try to
build a package for R.
The canonical reference is:
Glasserman, Paul, Monte Carlo Methods in Financial Engineering, Springer
2004
Suggestions, bug reports and other comments are very welcome.
enjoy and best regards
Andreas
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