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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