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 |
OS X El Capitan binaries: | r-release: LDPD_1.1.2.tgz |
OS X Mavericks binaries: | r-oldrel: LDPD_1.1.2.tgz |
Old sources: | LDPD archive |
Please use the canonical form https://CRAN.R-project.org/package=LDPD to link to this page.