LDPD: Probability of Default Calibration

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.

Author
Denis Surzhko
Date of publication
2015-05-21 09:42:38
Maintainer
Denis Surzhko <densur@gmail.com>
License
GPL-2
Version
1.1.2

View on CRAN

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...

Files in this package

LDPD
LDPD/NAMESPACE
LDPD/R
LDPD/R/PT.R
LDPD/R/VDB.R
LDPD/R/QMM.R
LDPD/MD5
LDPD/DESCRIPTION
LDPD/man
LDPD/man/QMMRecalibrate.Rd
LDPD/man/QMMPlot.Rd
LDPD/man/PTOnePeriodPD.Rd
LDPD/man/ARestimate.Rd
LDPD/man/VDBCalibratePD.Rd
LDPD/man/LDPD-package.Rd
LDPD/man/PTMultiPeriodPD.Rd