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.

Package details

AuthorDenis Surzhko
MaintainerDenis Surzhko <densur@gmail.com>
Package repositoryView on CRAN
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LDPD documentation built on May 1, 2019, 7:56 p.m.