R Graphical Manual

Last data update: 2014.03.03

Data Source

R Release (3.2.3)
CranContrib
BioConductor
All

Data Type

Packages
Functions
Images
Data set

Classification

Results 1 - 7 of 7 found.
[1] < 1 > [1] Sort:

QMMRecalibrate (Package: LDPD) :

Calibrates conditional probabilities of default (PD) according to Quasi Moment Matching (QMM) algorithm.
Calibration is based on target accuracy ratio (AR) and mean portfolio PD (Central Tendency). For the information purposes, also AR standard deviation is estimated using bootstrap approach.

● Data Source: CranContrib
● Keywords: PD calibration, credit risk, probability of default
● Alias: QMMRecalibrate
● 1 images

QMMPlot (Package: LDPD) :

Plot detailed results of probability of default calibration using Quasi Moment Matching algorithm.

● Data Source: CranContrib
● Keywords: PD calibration, credit risk, probability of default
● Alias: QMMPlot
● 1 images

PTOnePeriodPD (Package: LDPD) :

Estimates probability of default according to One-period Pluto and Tasche model.

● Data Source: CranContrib
● Keywords: PD calibration, credit risk, low default porfolios, probability of default
● Alias: PTOnePeriodPD
● 0 images

ARestimate (Package: LDPD) :

Estimate AR (Accuracy Ratio) and mean portfolio PD (probability of default) based on conditional PDs and portfolio unconditional distribution.

● Data Source: CranContrib
● Keywords: Accurancy Ratio, Gini, PD calibration
● Alias: ARestimate
● 0 images

VDBCalibratePD (Package: LDPD) :

Calibrates conditional probabilities of default (PD) according to algorithm proposed by M. van der Burgt.
Decomposition of PDs by rating classes is based on smoothed Cumulative Accuracy Profile (CAP) curve and target mean portfolio PD (Central Tendency - CT).

● Data Source: CranContrib
● Keywords: PD calibration, credit risk, probability of default
● Alias: VDBCalibratePD
● 0 images

LDPD-package (Package: LDPD) :

Implementation of most popular approaches to PD (probability of default) calibration: Quasi Moment Matching approach, M.van der Burgt algorithm, K.Pluto and D.Tasche's most prudent estimate methodology.

● Data Source: CranContrib
● Keywords: PD calibration, credit risk, low default porfolios, probability of default
● Alias: LDPD, LDPD-package
● 1 images

PTMultiPeriodPD (Package: LDPD) :

Estimates probability of default (PD) according to Multi-period Pluto & Tasche model.

● Data Source: CranContrib
● Keywords: PD calibration, credit risk, low default porfolios, probability of default
● Alias: PTMultiPeriodPD
● 0 images