• QRM

  • Referenced in 637 articles [sw11358]
  • different chapters of the book: market risk, credit risk, operational risk, risk-measurement and aggregation...
  • CreditRisk+

  • Referenced in 41 articles [sw31697]
  • CreditRisk+ A Credit Risk Management Framework. CREDITRISK+ is based on a portfolio approach to modelling ... credit default risk that takes into account information relating to size and maturity ... exposure and the credit quality and systematic risk of an obligor. The CREDITRISK ... Model is a statistical model of credit default risk that makes no assumptions about...
  • scorecard

  • Referenced in 1 article [sw33569]
  • package scorecard: Credit Risk Scorecard. The ’scorecard’ package makes the development of credit risk scorecard ... Refaat, M. (2011, ISBN: 9781447511199). Credit Risk Scorecard: Development and Implementation Using SAS. 2. Siddiqi ... ISBN: 9780471754510). Credit risk scorecards. Developing and Implementing Intelligent Credit Scoring...
  • creditR

  • Referenced in 1 article [sw33574]
  • creditR: A Credit Risk Scoring and Validation Package. This package provides a number ... applying the methods related to credit risk scoring. The package aims to facilitate the applications ... issued for the use of credit risk professionals. Basic level knowledge about credit risk scoring...
  • EMP

  • Referenced in 2 articles [sw16346]
  • Expected Maximum Profit Measure) in Credit Risk Scoring and Customer Churn Prediction, according to Verbraken...
  • Premia

  • Referenced in 1 article [sw21216]
  • Interest Rate Derivatives; Pricing of Credit Risk Derivatives; Pricing and Hedging of Equity Derivatives...
  • Rprofet

  • Referenced in 1 article [sw33589]
  • used as an effective credit scoring tool to evaluate risk. For complete details...
  • xVA

  • Referenced in 0 articles [sw17927]
  • package xVA. Calculates Credit Risk Valuation Adjustments- Calculates a number of valuation adjustments including ... probability of default is implied through the credit spreads curve. Currently, only IRSwaps are supported...
  • SACCR

  • Referenced in 0 articles [sw17906]
  • package SACCR. SA Counterparty Credit Risk under Basel III. Computes the Exposure-At-Default based...
  • Trading

  • Referenced in 0 articles [sw16669]
  • functionality focusing on the counterparty credit risk calculations however the package can be used...
  • DEA

  • Referenced in 242 articles [sw00194]
  • Data Envelopment Analysis (DEA) is becoming an increasingly...
  • Expokit

  • Referenced in 173 articles [sw00258]
  • Expokit provides a set of routines aimed at...
  • Hopscotch

  • Referenced in 43 articles [sw00413]
  • Hopscotch: a fast second order partial differential equations...
  • HSL

  • Referenced in 269 articles [sw00418]
  • HSL (formerly the Harwell Subroutine Library) is a...
  • Mathematica

  • Referenced in 5883 articles [sw00554]
  • Almost any workflow involves computing results, and that...
  • Matlab

  • Referenced in 12074 articles [sw00558]
  • MATLAB® is a high-level language and interactive...
  • NEWUOA

  • Referenced in 81 articles [sw00618]
  • NEWUOA is a software developped by M.J.D. Powell...
  • Octave

  • Referenced in 284 articles [sw00646]
  • GNU Octave is a high-level language, primarily...
  • R

  • Referenced in 8359 articles [sw00771]
  • R is a language and environment for statistical...
  • L-BFGS-B

  • Referenced in 162 articles [sw01234]
  • Algorithm 778: L-BFGS-B Fortran subroutines for...