Downloadable Computer Codes, Scripts, & Routines (sorted by date)
If you know of freely downloadable (& useful) computer codes that would be relevant to Credit Risk Modeling, CDOs, corporate obligor Credit Scoring, or Credit Pricing, then please contact me.
The CreditMetrics Package
by Andreas Wittmann of ...?...
(
R-code & Manual) -- April 17, 2009
ISDA CDS Standard Model
by International Swaps and Derivatives Association, Inc.
(codes & Manuals) -- April 3, 2009
A Model for Longevity Swaps: Pricing life expectancy
by Marco Stoeckle of Dresdner Kleinwort,
Andrea Loddo of Dresdner Kleinwort, and
Domenico Picone of Dresdner Kleinwort
(
4 of 3 & Manual) -- December 2008
European RMBS: Cashflow dynamics and key assumptions
by Domenico Picone of Dresdner Kleinwort, and
Priya Shah of Dresdner Kleinwort
( 5 of 3 & Manual) -- December 2008
Coping with Copulas: Managing tail risk
by Domenico Picone of Dresdner Kleinwort,
Marco Stoeckle of Dresdner Kleinwort,
Andrea Loddo of Dresdner Kleinwort, and
Priya Shah of Dresdner Kleinwort
( 6 of 3 & Manual) -- October 2008
CDO model: Finite Homogeneous Pool Model
by Domenico Picone of Dresdner Kleinwort,
Priya Shah of Dresdner Kleinwort,
Marco Stoeckle of Dresdner Kleinwort, and
Andrea Loddo of Dresdner Kleinwort
( 3 of 3 & Manual) -- September 2008
CDO model: Large Homogeneous Pool Model, with Gauss-Hermite Integration
by Domenico Picone of Dresdner Kleinwort,
Marco Stoeckle of Dresdner Kleinwort,
Priya Shah of Dresdner Kleinwort, and
Andrea Loddo of Dresdner Kleinwort
( 2 of 3 & Manual) -- September 2008
CDO model: Large Homogeneous Pool Model
by Domenico Picone of Dresdner Kleinwort,
Priya Shah of Dresdner Kleinwort,
Marco Stoeckle of Dresdner Kleinwort, and
Andrea Loddo of Dresdner Kleinwort
( 1 of 3 & Manual) -- September 2008
