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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 


Author  Denis Surzhko 
Maintainer  Denis Surzhko <densur@gmail.com> 
License  GPL2 
Version  1.1.2 
Package repository  View on CRAN 
Installation 
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