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

Downloads:

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 Mavericks binaries: r-release: LDPD_1.1.2.tgz, r-oldrel: 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.