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]
MaintainerBenjamin Christoffersen <[email protected]>
LicenseGPL-2
Version0.2.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("DtD")

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DtD documentation built on Sept. 11, 2018, 1:04 a.m.