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 |
| Reference manual: | LDPD.pdf |
| 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: LDPD_1.1.2.tgz, r-oldrel: LDPD_1.1.2.tgz |
| Old sources: | LDPD archive |
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