LDPD: 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.
Version: |
1.1.2 |
Imports: |
MASS, nleqslv |
Published: |
2015-05-21 |
Author: |
Denis Surzhko |
Maintainer: |
Denis Surzhko <densur at gmail.com> |
License: |
GPL-2 |
NeedsCompilation: |
no |
CRAN checks: |
LDPD results |
Documentation:
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