miguelbiron/BIDC: BIDC: Bayesian Inference for Default Correlations

The BIDC package contains function to perform Bayesian Inference on the default correlation parameter for credit risk models of the class first proposed in (Vasicek 1987). The methods in this package allow for more general versions of this initial model, where the probability of default is not constant across the portfolio nor time.

Getting started

Package details

AuthorMiguel Biron
MaintainerMiguel Biron <miguelbl9@gmail.com>
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
miguelbiron/BIDC documentation built on May 17, 2019, 3:12 a.m.