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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.
Getting started
Browse package contents
Package details |
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| Author | Denis Surzhko |
| Maintainer | Denis Surzhko <densur@gmail.com> |
| License | GPL-2 |
| Version | 1.1.2 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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