momest {QRMlib}R Documentation

Moment Estimator of Default Probabilities

Description

calculates moment estimator of default probabilities and joint default probabilities for a homogeneous group

Usage

momest(data, trials, limit=10.)

Arguments

data vector of numbers of defaults in each time period
trials vector of group sizes in each time period
limit maximum order of joint default probability to estimate

Details

first returned value is default probability estimate; second value is estimate of joint default probability for two firms; and so on. See pages 375-376 in QRM

Value

vector of default probability and joint default probability estimates

Author(s)

documentation by Scott Ulman for R-language distribution

See Also

fit.binomialBeta, fit.binomialLogitnorm, fit.binomialProbitnorm

Examples

#MODEL RISK See especially Section 8.4.6 on p. 364 of QRM book
data(spdata.raw);
attach(spdata.raw);
#momest() is an internal function in functionsCredit.R to 
#calculate moment estimators for default probabilities. The first 
#parameter input is a vector containing the number of defaults in 
#each time period; the 2nd parameter input is a vector containing the
#number of credits in the group during the time period.
momest(Bdefaults,Bobligors);
#The values calculated from momest(Bdefaults,Bobligors) are the 
#parameter estimates shown in Table 8.6, p.365 of QRM book under the 
#model column labeled 'B'
#The first value returned is the probability of a single default.
pi.B <- momest(Bdefaults, Bobligors)[1];  #one obligor defaulting pi = .04896
#second value returned is probability of joint default probability for two firms.
pi2.B <- momest(Bdefaults, Bobligors)[2]; #two obligors defaulting jointly pi2 = .0031265

[Package QRMlib version 1.4.4 Index]