R Observatory: Metrics for GCPM version 1.2.2

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

GCPM

1.2.2

Generalized Credit Portfolio Model

0packages depend

3.2Kdownloads / year

–test coverage

9/13checks pass

Overview

About

Maintained by Kevin JakobFirst published 2014-11-186 releasesCRAN page ↗

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.

Install

R (CRAN)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("GCPM", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-gcpm

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-GCPM

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-GCPM

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

4NOTE9OK

Failing flavors

NOTE 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

Slowest check: 2.8 min · r-devel-windows-x86_64

Code health

None

Tests · ratio 0.00

not tracked

Coverage

100%

Documentation · exports

4

Dependencies · direct

Check history

NOTE2026-04-22
10 OK · 4 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
9 OK · 4 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-04-10
10 OK · 4 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-09
10 OK · 3 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-03-10
10 OK · 4 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesNopkgdown siteNoNEWSNoCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 100%
Return-value docs: 100%
References docs: 8%

Downloads

3.2K

CRAN downloads in the past year

Rank #12,571 · ~9/day · ~266/mo

Releases R versions

Daily download trend is not available in this view yet.

18930 days

80890 days

3.2K1 year

Compare downloads with other packages →

Also on483 r2u19 autocran79 c2d4u

Dependencies

Declared dependencies

4 external dependencies (excludes base and recommended)

Depends (0)

none

Imports (4)

RcppmethodsRcppProgressparallel

LinkingTo (2)

Rcpp RcppProgress

Suggests (0)

none

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

Datasets

People & History

People (0)

Author records are not tracked yet for this package.

Listed in earlier versions (1)

Kevin Jakob

no longer listed · 1.0 to 1.2.2

Package Timeline

6 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
R
R 4.1.0 released · 2021-05-18
R
R 4.0.0 released · 2020-04-24
R
R 3.6.0 released · 2019-04-26
R
R 3.5.0 released · 2018-04-23
R
R 3.4.0 released · 2017-04-21
1.2.2Latest
2016-12-30 · current release · diff ↗
1.2.1
2016-09-11 · diff ↗
R
R 3.3.0 released · 2016-05-03
1.2
2015-06-29 · diff ↗
R
R 3.2.0 released · 2015-04-16
1.1.1
2014-12-01 · diff ↗

Show 3 earlier events

1.1
2014-11-25 · diff ↗
1.0
2014-11-18
R
R 3.1.0 released · 2014-04-10

Package metadata

First published: 2014-11-18
Total releases: 6 / 12 yrs
License: GPL-2 OSI
Bundled data: 249 KB / 3 files
Download size: 265 KB
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Empirical Finance

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("GCPM")

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Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for GCPM version 1.2.2 [Data set]. HJJB, LLC. Data release v2026-08-13. https://doi.org/10.5281/zenodo.21843040

From data release v2026-08-13, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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