This R-package is intended to provide the power of copulas to the spatial and spatio-temporal context. It will offer tools and functions to perform spatial analysis exploiting the possibility to fully model the whole dependence structure with copulas.
CreditCruncher computes the Value At Risk (VAR) of large credit portfolios using the Monte Carlo method. Keywords: ratings, transition matrix, survival functions, correlations, copulas, VAR, Expected Shortfall
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