pt_multi {AFR}

Pluto-Tasche method for multi-year probability of default (PD) analysis

Description

Calculates the variation inflation factors of all predictors in regression models

Usage

pt_multi(pf, num_def, conf_level, num_years)

Arguments

pf

unconditional portfolio distribution from the worst to the best credit quality

num_def

number of defaults in a given rating class

conf_level

confidence interval of PD estimates

num_years

number of periods used in the PD estimation

Examples

pf <- c(10,20,30,40)
num_def <- c(1,2,3,4)
conf_level = 0.99
num_years = 3
pt_multi(pf, num_def, conf_level, num_years)