Description Usage Arguments Details Value Note Author(s) References See Also Examples

Estimates probability of default (PD) according to Multi-period Pluto & Tasche model.

1 | ```
PTMultiPeriodPD(portf.uncond, portf.def, rho, cor.St, kT, kNS = 1000, conf.interval = 0.9)
``` |

`portf.uncond` |
Unconditional portfolio distribution (e.g. number of counterparts by rating classes). |

`portf.def` |
Number of defaults by rating classes. |

`rho` |
Correlation with systematic factor. |

`cor.St` |
Correlation matrix of systematic factor realization through the time. In case constant is given - power matrix is used: |

`kT` |
Number of periods used in the PD estimation. |

`kNS` |
Number of simulations for integral estimation (using Monte-Carlo approach). |

`conf.interval` |
Confidence interval for PD estimation. |

Estimates probabilities of default according to multi-period Pluto and Tasche model (additionally captures the inter-temporal correlation effects).

Conditional PDs according to Multi-period Pluto and Tasche model

Portfolio and default data should be sorted by rating classes from lowest credit quality to higher one.

Denis Surzhko <densur@gmail.com>

Pluto, K. and Tasche, D., 2005. Thinking Positively. Risk, August, 72-78.

1 2 3 | ```
portfolio <- c(10,20,30,40,10)
defaults <- c(1,2,0,0,0)
PTMultiPeriodPD(portfolio, defaults, 0.3, cor.St = 0.3, kT = 5, kNS = 1000, conf.interval = 0.5)
``` |

```
[1] 0.04284042 0.03299894 0.01780414 0.01146315 0.01053244
```

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