LDPD (version 1.1.2)

QMMPlot: Plot Results of Probability of Default Calibration

Description

Plot detailed results of probability of default calibration using Quasi Moment Matching algorithm.

Usage

QMMPlot(x)

Arguments

x

Output of QMMRecalibrate function.

Value

Plot of conditional PDs.

Details

Plot contains conditional PD (probability of default) values:

before re-calibration (sample Central Tendency and AR (accuracy ratio));

after re-calibration (target Central Tendency and AR);

upper confidence interval PDs (target Central Tendency and target AR minus one standard deviation of sample AR);

References

Tasche, D. (2009) Estimating discriminatory power and PD curves when the number of defaults is small. Working paper, Lloyds Banking Group. Tasche, D. (2013) The art of probability-of-default curve calibration. Journal of Credit Risk, 9:63-103.

See Also

QMMRecalibrate

Examples

pd <- c(0.2, 0.1, 0.005, 0.001, 0.001)
porfolio <- c(100, 200, 200, 200, 100)
qmm <- QMMRecalibrate(0.05, pd, porfolio, rating.type = 'RATING')
QMMPlot(qmm)