LDPD: Probability of Default Calibration
Version 1.1.2

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
Date of publication2015-05-21 09:42:38
MaintainerDenis Surzhko <[email protected]>
Package repositoryView on CRAN
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LDPD documentation built on May 29, 2017, 10:40 a.m.