Contents:
portfolioAnalytics
Installation
Getting Started
Examples
API
portfolioAnalytics Package
portfolioAnalytics Subpackages
portfolioAnalytics.vasicek subpackage
portfolioAnalytics.creditmetrics subpackage
CreditMetrics Style Functions
portfolioAnalytics.estimators subpackage
portfolioAnalytics.thresholds subpackage
portfolioAnalytics.utils subpackage
Testing
Roadmap
Todo List
ChangeLog
portfolioAnalytics
API
portfolioAnalytics Package
portfolioAnalytics.creditmetrics subpackage
View page source
portfolioAnalytics.creditmetrics subpackage
CreditMetrics Style Functions
Inverse normal function
Variance calculation
Expected Loss Calculation
Loss Volatility (Unexpected Loss)