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.

AuthorDenis Surzhko
Date of publication2015-05-21 09:42:38
MaintainerDenis Surzhko <densur@gmail.com>

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