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


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 (arm64): LDPD_1.1.2.tgz, r-release (x86_64): LDPD_1.1.2.tgz, r-oldrel: LDPD_1.1.2.tgz
Old sources: LDPD archive


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