Estimates probability of default according to One-period Pluto and Tasche model.
PTOnePeriodPD(portf.uncond, portf.def, conf.interval = 0.9)
Unconditional portfolio distribution (e.g. number of counterparts by rating classes).
Number of defaults by rating classes.
Confidence interval for PD estimation.
Implementation of simple one-period Pluto and Tasche probability of default (PD) calibration model.
Conditional PDs according to one-period Pluto and Tasche model
Portfolio and default data should be sorted by rating classes from lowest credit quality to higher one.
Denis Surzhko <firstname.lastname@example.org>
Pluto, K. and Tasche, D., 2005. Thinking Positively. Risk, August, 72-78.
1 2 3
 0.16226172 0.12106991 0.06086968 0.03659702 0.03330381
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.