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:

Reference manual:

LDPD.pdf

Downloads:

Package source:	LDPD_1.1.2.tar.gz
Windows binaries:	r-devel: LDPD_1.1.2.zip, r-release: LDPD_1.1.2.zip, r-oldrel: LDPD_1.1.2.zip
macOS binaries:	r-release (arm64): LDPD_1.1.2.tgz, r-oldrel (arm64): LDPD_1.1.2.tgz, r-release (x86_64): LDPD_1.1.2.tgz, r-oldrel (x86_64): LDPD_1.1.2.tgz
Old sources:	LDPD archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=LDPD to link to this page.