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.

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

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