LDPD: Probability of Default Calibration
Version 1.1.2

Implementation of most popular approaches to PD (probability of default) calibration: Quasi Moment Matching algorithm (D. Tasche), algorithm proposed by M. van der Burgt, K. Pluto and D. Tasche's most prudent estimation methodology.

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AuthorDenis Surzhko
Date of publication2015-05-21 09:42:38
MaintainerDenis Surzhko <densur@gmail.com>
LicenseGPL-2
Version1.1.2
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("LDPD")

Man pages

ARestimate: Accuracy Ratio estimation
LDPD-package: Probability of Default Calibration
PTMultiPeriodPD: Multi-period Pluto and Tasche Model
PTOnePeriodPD: One-period Pluto and Tasche Model
QMMPlot: Plot Results of Probability of Default Calibration
QMMRecalibrate: Probability of Default Calibration using Quasi Moment...
VDBCalibratePD: Probability of Default Calibration using M. Van Der Burgt...

Functions

ARConfIntEst Source code
ARestimate Man page Source code
LDPD Man page
LDPD-package Man page
PTLinkFunc Source code
PTMultiPeriodPD Man page Source code
PTOnePeriodPD Man page Source code
PTProbLessKdef Source code
QMMGetRLogitPD Source code
QMMPDlinkFunc Source code
QMMPlot Man page Source code
QMMRecalibrate Man page Source code
QMMakeTargetFunc Source code
VDBAR Source code
VDBCAPDer Source code
VDBCAPExpAp Source code
VDBCalibratePD Man page Source code
VDBGetK Source code

Files

NAMESPACE
R
R/PT.R
R/VDB.R
R/QMM.R
MD5
DESCRIPTION
man
man/QMMRecalibrate.Rd
man/QMMPlot.Rd
man/PTOnePeriodPD.Rd
man/ARestimate.Rd
man/VDBCalibratePD.Rd
man/LDPD-package.Rd
man/PTMultiPeriodPD.Rd
LDPD documentation built on May 19, 2017, 7:44 a.m.