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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.
Getting started
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Package details |
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| Author | Benjamin Christoffersen [cre, aut], R-core [cph], Robert Gentleman [cph], Ross Ihaka [cph] |
| Maintainer | Benjamin Christoffersen <boennecd@gmail.com> |
| License | GPL-2 |
| Version | 0.2.2 |
| Package repository | View on CRAN |
| Installation |
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