Refine by Content Type

Refine by Product

Refine by Time Frame

image thumbnail

updated 2 years ago

Pluto & Tasche Upper Bound PD Model for Low Default Portfolios by Alexandros Gabrielsen

Estimation of the Pluto & Tasche Upper Bound PD along with Benjamin, Cathcart Ryan Statistic. (credit, finance, low default portfolio...)


errorpt(pd, n, i, theta, rho, T, Conf, N)

plutotascheportfolio(Obligors, Defaults, theta, rho, T, C...

image thumbnail

updated 2 years ago

Merton Structural Credit Model (Matrixwise Solver) by Mark Whirdy

Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery (credit, merton, structural credit mod...)


image thumbnail

updated 3 years ago

Hazard Rate Bootstrapping by Vilen Abramov

This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads. (cds, bootstrapping, pricing)


Contact us