PTOnePeriodPD: One-period Pluto and Tasche Model

In LDPD: Probability of Default Calibration

Description

Estimates probability of default according to One-period Pluto and Tasche model.

Usage

PTOnePeriodPD(portf.uncond, portf.def, conf.interval = 0.9)

Arguments

portf.uncond	Unconditional portfolio distribution (e.g. number of counterparts by rating classes).
portf.def	Number of defaults by rating classes.
conf.interval	Confidence interval for PD estimation.

Details

Implementation of simple one-period Pluto and Tasche probability of default (PD) calibration model.

Value

Conditional PDs according to one-period Pluto and Tasche model

Note

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

Author(s)

Denis Surzhko <[e-mail]>

References

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

See Also

PTMultiPeriodPD

Examples

portfolio <- c(10,20,30,40,10)
defaults <- c(1,2,0,0,0)
PTOnePeriodPD(portfolio, defaults, conf.interval = 0.5)

Example output

[1] 0.16226172 0.12106991 0.06086968 0.03659702 0.03330381

LDPD documentation built on May 1, 2019, 7:56 p.m.