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updated 1 year 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...)

binom_cum (n,p,i) ;

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

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

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updated 1 year 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...)

calcMertonModel(E_t,sig_E,K,t,T,r)

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updated 2 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)

hazard

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