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.


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install.packages("LDPD")

1.1.2 by Denis Surzhko, 4 years ago


Browse source code at https://github.com/cran/LDPD


Authors: Denis Surzhko


Documentation:   PDF Manual  


GPL-2 license


Imports MASS, nleqslv


See at CRAN