pt_one: Pluto-Tasche method for one-year probability of default (PD)...
In AFR: Toolkit for Regression Analysis of Kazakhstan Banking Sector Data
pt_one R Documentation
Pluto-Tasche method for one-year probability of default (PD) analysis
Description
Calculates probability of default according to One-period Pluto and Tasche model
Usage
pt_one(pf, num_def, ci = 0.9)
Arguments
pf
unconditional portfolio distribution from the worst to the best credit quality
num_def
number of defaults in a given rating class
ci
condifence interval of PD estimates
References
Surzhko, Denis. Published 2015-05-21. LDPD package. Archived on 2022-06-20.
Examples
pf <- c(10,20,30,40)
num_def <- c(1,2,3,4)
pt_one(pf, num_def, ci= 0.9)
AFR documentation built on Nov. 2, 2023, 6:09 p.m.
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| pt_one | R Documentation |
Pluto-Tasche method for one-year probability of default (PD) analysis
Description
Calculates probability of default according to One-period Pluto and Tasche model
Usage
pt_one(pf, num_def, ci = 0.9)
Arguments
pf |
unconditional portfolio distribution from the worst to the best credit quality |
num_def |
number of defaults in a given rating class |
ci |
condifence interval of PD estimates |
References
Surzhko, Denis. Published 2015-05-21. LDPD package. Archived on 2022-06-20.
Examples
pf <- c(10,20,30,40)
num_def <- c(1,2,3,4)
pt_one(pf, num_def, ci= 0.9)
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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