Package: vasicekfit 0.1.0.9000

Dmitriy Mayorov

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.

Authors:Dmitriy Mayorov [aut, cre]

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manual.pdf |manual.html✨
card.svg |card.png
vasicekfit/json (API)

# Install 'vasicekfit' in R:
install.packages('vasicekfit', repos = c('https://externalmemory.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/externalmemory/vasicekfit-cran-package/issues

On CRAN:

Conda:

3.18 score 447 downloads 5 exports 0 dependencies

Last updated from:5735bbacac. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK112
source / vignettesOK144
linux-release-x86_64OK110
macos-release-arm64OK88
macos-oldrel-arm64OK71
windows-develOK61
windows-releaseOK76
windows-oldrelOK74
wasm-releaseOK90

Exports:dvasicekpvasicekqvasicekrvasicekvasicekfit

Dependencies:

Readme and manuals

Help Manual

Help pageTopics
Extended Vasicek Credit Loss Model with Macroeconomic Factorsvasicekfit-package
Predict Method for vasicekfit Objectspredict.vasicekfit
The Vasicek Loss Distributiondvasicek pvasicek qvasicek rvasicek
Fit an Extended Vasicek Credit Loss Modelvasicekfit
Methods for vasicekfit Objectscoef.vasicekfit confint.vasicekfit fitted.vasicekfit print.vasicekfit residuals.vasicekfit summary.vasicekfit vcov.vasicekfit