Probability of Default Calibration

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.


Reference manual

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1.1.2 by Denis Surzhko, 4 years ago

Browse source code at

Authors: Denis Surzhko

Documentation:   PDF Manual  

GPL-2 license

Imports MASS, nleqslv

See at CRAN