
QRM
 Referenced in 718 articles
[sw11358]
 different chapters of the book: market risk, credit risk, operational risk, riskmeasurement and aggregation...

CreditRisk+
 Referenced in 44 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 ExposureAtDefault based...

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

DEA
 Referenced in 244 articles
[sw00194]
 Data Envelopment Analysis (DEA) is becoming an increasingly...

Expokit
 Referenced in 198 articles
[sw00258]
 Expokit provides a set of routines aimed at...

Hopscotch
 Referenced in 44 articles
[sw00413]
 Hopscotch: a fast second order partial differential equations...

HSL
 Referenced in 279 articles
[sw00418]
 HSL (formerly the Harwell Subroutine Library) is a...

Mathematica
 Referenced in 6337 articles
[sw00554]
 Almost any workflow involves computing results, and that...

Matlab
 Referenced in 13460 articles
[sw00558]
 MATLAB® is a highlevel language and interactive...

NEWUOA
 Referenced in 96 articles
[sw00618]
 NEWUOA is a software developped by M.J.D. Powell...

Octave
 Referenced in 304 articles
[sw00646]
 GNU Octave is a highlevel language, primarily...

R
 Referenced in 9810 articles
[sw00771]
 R is a language and environment for statistical...

LBFGSB
 Referenced in 198 articles
[sw01234]
 Algorithm 778: LBFGSB Fortran subroutines for...