vasicekfit
Extended Vasicek Credit Loss Model with Macroeconomic Factors
Fits the extended Vasicek single-factor credit loss model where the probability of default depends on macroeconomic covariates. Maximum likelihood estimates of all parameters, including asset value correlation, are obtained via closed-form probit-transformed OLS regression; see Mayorov (2026) <doi:10.2139/ssrn.6506378> for derivation.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.0 |
rolling linux/jammy R-4.5 | vasicekfit_0.1.0.tar.gz |
42.2 KiB |
0.1.0 |
rolling linux/noble R-4.5 | vasicekfit_0.1.0.tar.gz |
42.1 KiB |
0.1.0 |
rolling source/ R- | vasicekfit_0.1.0.tar.gz |
11.4 KiB |
0.1.0 |
latest linux/jammy R-4.5 | vasicekfit_0.1.0.tar.gz |
42.2 KiB |
0.1.0 |
latest linux/noble R-4.5 | vasicekfit_0.1.0.tar.gz |
42.1 KiB |
0.1.0 |
latest source/ R- | vasicekfit_0.1.0.tar.gz |
11.4 KiB |
0.1.0 |
2026-04-23 source/ R- | vasicekfit_0.1.0.tar.gz |
0 B |