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LDPD (version 1.1.2)

Probability of Default Calibration

Description

Implementation of most popular approaches to PD (probability of default) calibration: Quasi Moment Matching algorithm (D. Tasche), algorithm proposed by M. van der Burgt, K. Pluto and D. Tasche's most prudent estimation methodology.

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Version

Install

install.packages('LDPD')

Monthly Downloads

20

Version

1.1.2

License

GPL-2

Maintainer

Denis Surzhko

Last Published

May 21st, 2015

Functions in LDPD (1.1.2)

ARestimate

Accuracy Ratio estimation
VDBCalibratePD

Probability of Default Calibration using M. Van Der Burgt Algorithm
LDPD-package

Probability of Default Calibration
PTMultiPeriodPD

Multi-period Pluto and Tasche Model
QMMRecalibrate

Probability of Default Calibration using Quasi Moment Matching Algorithm
QMMPlot

Plot Results of Probability of Default Calibration
PTOnePeriodPD

One-period Pluto and Tasche Model