pt_one {AFR}

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

Description

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

Usage

pt_one(pf, num_def, ci = 0.9)

Arguments

pf

unconditional portfolio distribution from the worst to the best credit quality

num_def

number of defaults in a given rating class

ci

condifence interval of PD estimates

References

Surzhko, Denis. Published 2015-05-21. LDPD package. Archived on 2022-06-20.

Examples

pf <- c(10,20,30,40)
num_def <- c(1,2,3,4)
pt_one(pf, num_def, ci= 0.9)