Thanks Liu, You are right, my concerning is Basel II, and I was wondering to find a R package for this. But I also can't find any package. By the way, since I'm in banking industry, I need to use the portfolio approach. Any other hints still welcome.
Rick From: Wensui Liu Sent: Sunday, December 27, 2009 11:13 PM To: Cedrick W. Johnson Cc: Ricardo Gonçalves Silva ; R-Help Subject: Re: [R] R and Finance - EAD, LGD, PD i think rick's questions are more related to basel II instead of R and don't think there is such a R package. per my limited knowledge, there are many ways to calculate PD, EAD, and LGD, either on portfolio level or on account level. So it really depends on how you are going to estimate them. On the side of consumer credit risk, it makes more sense to estimate 3 models on the account level, which should be under the umbrella of GLM. While PD / LGD are well studied, EAD is not. There are multiple ways to estimate EAD, such as LEQ/CCF/EADF, depending on the characteristic of accounts. 2009/12/27 Cedrick W. Johnson <cedr...@cedrickjohnson.com> Howdy- You may want to check out the R-sig-finance list and search through the postings here: http://n4.nabble.com/Rmetrics-f925806.html There's quite a few packages in the CRAN taskviews as well: http://cran.r-project.org/web/views/Finance.html -cj Ricardo Gonçalves Silva wrote: Hi, I'm currently beginning to use R for financial analysis (mainly Basel II benchmarks) and I would like to know if any R-User can give me some initial directions on packages and tutorials which I can use to calculate capital requirements, default probabilities, and related stuff. Thanks in advance, Rick [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- ============================== WenSui Liu Blog : statcompute.spaces.live.com Tough Times Never Last. But Tough People Do. - Robert Schuller ============================== -------------------------------------------------------------------------------- Nenhum vírus encontrado nessa mensagem recebida. Verificado por AVG - www.avgbrasil.com.br Versão: 9.0.722 / Banco de dados de vírus: 270.14.121/2589 - Data de Lançamento: 12/27/09 07:18:00 [[alternative HTML version deleted]]
______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
