One-period Pluto and Tasche Model

Description

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

Usage

PTOnePeriodPD(portf.uncond, portf.def, conf.interval = 0.9)

Arguments

Details

Implementation of simple one-period Pluto and Tasche probability of default (PD) calibration model.

Value

Conditional PDs according to one-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.

See Also

PTMultiPeriodPD

Examples

portfolio <- c(10,20,30,40,10)
defaults <- c(1,2,0,0,0)
PTOnePeriodPD(portfolio, defaults, 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/PTOnePeriodPD.Rd_%03d_medium.png", width=480, height=480)
> ### Name: PTOnePeriodPD
> ### Title: One-period Pluto and Tasche Model
> ### Aliases: PTOnePeriodPD
> ### 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)
> PTOnePeriodPD(portfolio, defaults, conf.interval = 0.5)
[1] 0.16226172 0.12106991 0.06086968 0.03659702 0.03330381
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>