LDPD (version 1.1.2)

PTMultiPeriodPD: Multi-period Pluto and Tasche Model

Description

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

Usage

PTMultiPeriodPD(portf.uncond, portf.def, rho, cor.St, kT, kNS = 1000, 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.

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: Correlation matrix (i, j) = cor.St ^ |s - t|, s = 1..kT, t = 1..kT.

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.

Value

Conditional PDs according to Multi-period Pluto and Tasche model

Details

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

References

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

See Also

PTOnePeriodPD

Examples

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)