Description
Analyze the default risk of credit portfolios. Commonly known models, like CreditRisk+ or the CreditMetrics model are implemented in their very basic settings. The portfolio loss distribution can be achieved either by simulation or analytically in case of the classic CreditRisk+ model. Models are only implemented to respect losses caused by defaults, i.e. migration risk is not included. The package structure is kept flexible especially with respect to distributional assumptions in order to quantify the sensitivity of risk figures with respect to several assumptions. Therefore the package can be used to determine the credit risk of a given portfolio as well as to quantify model sensitivities.
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CRAN Check Status
Show all 14 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | NOTE |
| r-devel-linux-x86_64-fedora-gcc | NOTE |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (4 non-OK)
CRAN incoming feasibility
Maintainer: ‘Kevin Jakob <Kevin.Jakob.Research@gmail.com>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Kevin",
family = "Jakob",
role = c("aut", "cre"),
email = "kevin.jakob.research@gmail.com")
as necessary.
CRAN incoming feasibility
Maintainer: ‘Kevin Jakob <Kevin.Jakob.Research@gmail.com>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Kevin",
family = "Jakob",
role = c("aut", "cre"),
email = "kevin.jakob.research@gmail.com")
as necessary.
compiled code
File ‘GCPM/libs/GCPM.so’: Found no calls to: ‘R_registerRoutines’, ‘R_useDynamicSymbols’ It is good practice to register native routines and to disable symbol search. See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual.
compiled code
File ‘GCPM/libs/GCPM.so’: Found no calls to: ‘R_registerRoutines’, ‘R_useDynamicSymbols’ It is good practice to register native routines and to disable symbol search. See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual.
Check History
NOTE 10 OK · 4 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
CRAN incoming feasibility
Maintainer: ‘Kevin Jakob <Kevin.Jakob.Research@gmail.com>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Kevin",
family = "Jakob",
role = c("aut", "cre"),
email = "kevin.jakob.research@gmail.com")
as necessary.
CRAN incoming feasibility
Maintainer: ‘Kevin Jakob <Kevin.Jakob.Research@gmail.com>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Kevin",
family = "Jakob",
role = c("aut", "cre"),
email = "kevin.jakob.research@gmail.com")
as necessary.
compiled code
File ‘GCPM/libs/GCPM.so’: Found no calls to: ‘R_registerRoutines’, ‘R_useDynamicSymbols’ It is good practice to register native routines and to disable symbol search. See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual.
compiled code
File ‘GCPM/libs/GCPM.so’: Found no calls to: ‘R_registerRoutines’, ‘R_useDynamicSymbols’ It is good practice to register native routines and to disable symbol search. See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual.