portfolioAnalytics Package

The core module

portfolioAnalytics Subpackages

• portfolioAnalytics.vasicek subpackage
  • Functions
    • Vasicek Base Distribution
    • Vasicek Base Distribution Expected Loss
    • Vasicek Base Distribution Unexpected Loss
    • Vasicek Limit Distribution
    • Vasicek Limit Distribution Expected Loss
    • Vasicek Limit Distribution Unexpected Loss
    • Vasicek Limit Distribution Quantile Loss
• portfolioAnalytics.creditmetrics subpackage
  • CreditMetrics Style Functions
    • Inverse normal function
    • Variance calculation
    • Expected Loss Calculation
    • Loss Volatility (Unexpected Loss)
• portfolioAnalytics.estimators subpackage
• portfolioAnalytics.thresholds subpackage
  • portfolioAnalytics.thresholds.model module
    • ThresholdSet
    • Integrate G
    • Integrate F
• portfolioAnalytics.utils subpackage
  • portfolioAnalytics.utils contents
  • portfolioAnalytics.utils Submodules
    • portfolioAnalytics.utils.converters module
    • portfolioAnalytics.utils.dataset_portfolio module
    • portfolioAnalytics.utils.bivariatenormal module