Pluto & Tasche Upper Bound PD Model for Low Default Portfolios

Version 1.0.0.0 (8.33 KB) by Alexandros Gabrielsen
Estimation of the Pluto & Tasche Upper Bound PD along with Benjamin, Cathcart Ryan Statistic.
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Updated 12 Aug 2013

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Estimation of the Pluto & Tasche Upper Bound PD, Portfolio Scaling Factor along with Benjamin, Cathcart Ryan Statistic.

The main functions are the plutotasche and plutotascheportolio. They take as inputs the number of obligors, number of defaults, as well the assumed autocorrelation (theta), asset correlation (rho), number of years (T), likelihood of having the number of defaults exceeding the observed PD given an assumed PD (Conf) and the number of simulations (N).

Please refer to the PlutTascheReadme for more information.

Cite As

Alexandros Gabrielsen (2024). Pluto & Tasche Upper Bound PD Model for Low Default Portfolios (https://www.mathworks.com/matlabcentral/fileexchange/43020-pluto-tasche-upper-bound-pd-model-for-low-default-portfolios), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2013a
Compatible with any release
Platform Compatibility
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Version Published Release Notes
1.0.0.0