pt_multi: Pluto-Tasche method for multi-year probability of default...
In AFR: Toolkit for Regression Analysis of Kazakhstan Banking Sector Data
pt_multi R Documentation
Pluto-Tasche method for multi-year probability of default (PD) analysis
Description
Calculates the variation inflation factors of all predictors in regression models
Usage
pt_multi(pf, num_def, conf_level, num_years)
Arguments
pf
unconditional portfolio distribution from the worst to the best credit quality
num_def
number of defaults in a given rating class
conf_level
confidence interval of PD estimates
num_years
number of periods used in the PD estimation
Examples
pf <- c(10,20,30,40)
num_def <- c(1,2,3,4)
conf_level = 0.99
num_years = 3
pt_multi(pf, num_def, conf_level, num_years)
AFR documentation built on Nov. 2, 2023, 6:09 p.m.
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| pt_multi | R Documentation |
Pluto-Tasche method for multi-year probability of default (PD) analysis
Description
Calculates the variation inflation factors of all predictors in regression models
Usage
pt_multi(pf, num_def, conf_level, num_years)
Arguments
pf |
unconditional portfolio distribution from the worst to the best credit quality |
num_def |
number of defaults in a given rating class |
conf_level |
confidence interval of PD estimates |
num_years |
number of periods used in the PD estimation |
Examples
pf <- c(10,20,30,40)
num_def <- c(1,2,3,4)
conf_level = 0.99
num_years = 3
pt_multi(pf, num_def, conf_level, num_years)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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