This repository contains some of the R codes used in the article Oeyen, Brent & Salazar Celis, Oliver, On probability of default and its relation to observed default frequency and a common factor, Journal of Credit Risk, 15(3):41-66, 2019 (doi).
Code contains an extraction logic for EUROSTOXX data and how to use this data to create a realistic example of a ODF timeseries and how to extrapolate from this timeseries the asset correlation parameter and the Point-in-Time'ness parameter
Code contains the simulation logic for 5 scenarios and plots the impact on the estimation of the asset correlation parameter and the Point-in-Time'ness parameter using the proposed methodology of the auhors.
