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 |

**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...

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
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