Functions for calculating the CreditMetrics risk model

Documentation for package ‘CreditMetrics’ version 0.0-1

cm.cs	Computation of credit spreads
cm.CVaR	Computation of the Credit Value at Risk (CVaR)
cm.gain	Computation of simulated profits and losses
cm.hist	Profit / Loss Distribution histogram
cm.matrix	Testing for migration matrix
cm.portfolio	Computation of simulated portfolio values
cm.quantile	Computation of migration quantils
cm.ref	Computation of reference value
cm.rnorm	Computation of standard normal distributed random numbers
cm.rnorm.cor	Computation of correlated standard normal distributed random numbers
cm.state	Computation of state space
cm.val	Valuation for the credit positions of each scenario