pt_one

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

Tool is created for regression, prediction and forecast analysis of macroeconomic and credit data.
The package includes functions from existing R packages adapted for banking sector of Kazakhstan.
The purpose of the package is to optimize statistical functions for easier interpretation for bank analysts and non-statisticians.

Sultan Zhaparov

Toolkit for Regression Analysis of Kazakhstan Banking Sector
Data

Timur Abilkassymov

Shyngys Shuneyev

Alua Makhmetova

pt_one function

<dl><dt>pf</dt>
<dd>unconditional portfolio distribution from the worst to the best credit quality</dd>
<dt>num_def</dt>
<dd>number of defaults in a given rating class</dd>
<dt>ci</dt>
<dd>condifence interval of PD estimates</dd></dl>

Arguments

Pluto-Tasche method for one-year probability of default (PD) analysis — pt_one

<dl>

<dt>pf</dt>
<dd>unconditional portfolio distribution from the worst to the best credit quality</dd>


<dt>num_def</dt>
<dd>number of defaults in a given rating class</dd>


<dt>ci</dt>
<dd>condifence interval of PD estimates</dd>

</dl>

pt_one: Pluto-Tasche method for one-year probability of default (PD) analysis

Description

Usage

Arguments

References

Examples