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.
|Date of publication||2015-05-21 09:42:38|
|Maintainer||Denis Surzhko <[email protected]>|
|Package repository||View on CRAN|
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