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Last data update: 2014.03.03

R: Multi-period Pluto and Tasche Model

PTMultiPeriodPD

R Documentation

Multi-period Pluto and Tasche Model

Description

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

Usage

PTMultiPeriodPD(portf.uncond, portf.def, rho, cor.St, kT, kNS = 1000, conf.interval = 0.9)

Arguments

`portf.uncond`	Unconditional portfolio distribution (e.g. number of counterparts by rating classes).
`portf.def`	Number of defaults by rating classes.
`rho`	Correlation with systematic factor.
`cor.St`	Correlation matrix of systematic factor realization through the time. In case constant is given - power matrix is used: Correlation matrix (i, j) = cor.St ^ \|s - t\|, s = 1..kT, t = 1..kT.
`kT`	Number of periods used in the PD estimation.
`kNS`	Number of simulations for integral estimation (using Monte-Carlo approach).
`conf.interval`	Confidence interval for PD estimation.

Details

Estimates probabilities of default according to multi-period Pluto and Tasche model (additionally captures the inter-temporal correlation effects).

Value

Conditional PDs according to Multi-period Pluto and Tasche model

Note

Portfolio and default data should be sorted by rating classes from lowest credit quality to higher one.

Author(s)

Denis Surzhko <densur@gmail.com>

References

Pluto, K. and Tasche, D., 2005. Thinking Positively. Risk, August, 72-78.

Examples

portfolio <- c(10,20,30,40,10)
defaults <- c(1,2,0,0,0)
PTMultiPeriodPD(portfolio, defaults, 0.3, cor.St = 0.3, kT = 5, kNS = 1000, conf.interval = 0.5)

Results


R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(LDPD)
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/LDPD/PTMultiPeriodPD.Rd_%03d_medium.png", width=480, height=480)
> ### Name: PTMultiPeriodPD
> ### Title: Multi-period Pluto and Tasche Model
> ### Aliases: PTMultiPeriodPD
> ### Keywords: credit risk probability of default PD calibration low default
> ###   porfolios
> 
> ### ** Examples
> 
> portfolio <- c(10,20,30,40,10)
> defaults <- c(1,2,0,0,0)
> PTMultiPeriodPD(portfolio, defaults, 0.3, cor.St = 0.3, kT = 5, kNS = 1000, conf.interval = 0.5)
[1] 0.04273741 0.03279465 0.01764530 0.01134116 0.01041493
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>