DtD: Distance to Default

Provides fast methods to work with Merton's distance to default model introduced in Merton (1974) <doi:10.1111/j.1540-6261.1974.tb03058.x>. The methods includes simulation and estimation of the parameters.

Package details

AuthorBenjamin Christoffersen [cre, aut], R-core [cph], Robert Gentleman [cph], Ross Ihaka [cph]
MaintainerBenjamin Christoffersen <boennecd@gmail.com>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the DtD package in your browser

Any scripts or data that you put into this service are public.

DtD documentation built on March 26, 2020, 7:45 p.m.