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Topic > Finance > Fixed Income

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3 projects in result set.

0. Credit Risk Management - Project to implement a simple credit risk suite to calculate the risk of a classical credit portfolio consisting of single name positions.
Development Status : 1 - Planning [Filter] License : OSI Approved : GNU General Public License (GPL) [Filter] Natural Language : English (Now Filtering) Topic : Finance : Data and Date Management [Filter] Topic : Finance : Fixed Income [Filter] Topic : Finance : Risk Management [Filter]	Activity Percentile: 0.00 Registered: 2012-01-07 23:05

1. Zero-coupon Yield Curve Estimation - The package focuses on the cubic splines approach of McCulloch (1971, 1975) and the Nelson and Siegel (1987) method with extensions by Svensson (1994), Diebold and Li (2006) and De Pooter (2007).
Development Status : 4 - Beta [Filter] Intended Audience : End Users/Desktop [Filter] Natural Language : English (Now Filtering) Programming Language : R [Filter] Topic : Finance : Fixed Income [Filter]	Activity Percentile: 0.00 Registered: 2007-01-15 14:54

2. Counterparty Credit Risk Management - This project contains techniques measuring the counterparty credit risk management based on the Basel III regulatory framework. Currently, the SA-CCR exposure-at-default method and valuation adjustments including CVA, DVA, FVA, MVA, KVA are included.
Development Status : 5 - Production/Stable [Filter] Intended Audience : End Users/Desktop [Filter] License : OSI Approved : GNU General Public License (GPL) [Filter] Natural Language : English (Now Filtering) Programming Language : R [Filter] Topic : Finance : Derivatives [Filter] Topic : Finance : Fixed Income [Filter] Topic : Finance : Risk Management [Filter]	Activity Percentile: 0.00 Registered: 2015-09-20 17:34

Thanks to:

Vienna University of Economics and Business

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