search for: lgd

...4, 62670.5625, 687.801995,50641.4875,59227.125,43818.5778,52887.72534,601788.7937, 56813.14859,4012356.056,1419501.179,210853.4743,749961,6599.0862), pd = c(0.0191,0.0050,0.0298,0.0449,0.0442,0.0479,0.0007,0.0203,0.0431,0.0069, 0.0122,0.0022,0.0016,0.0082,0.0109,0.0008,0.0142,0.0171,0.0276,0.0178), lgd = c(0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45, 0.45,0.45,0.45,0.45)) param <- data.frame(alpha = 0.99, size = 50)    # size is basically no of simulations n          <- length(exposure$id) id         <- exposure$id ead        <- exposure$ead lgd...

R-help, I'm trying to plot the following: year lgd 1 1986 136.97479 2 1987 69.10377 3 1988 67.66744 4 1989 71.60316 5 1990 62.06897 6 1992 6.25000 7 1993 27.72021 8 1995 23.83648 9 1996 10.29412 10 1997 95.67487 11 1998 82.09367 12 1999 56.60401 13 2000 29.80864 14 2001 23.77535 15 2002 48.30378 16 2003 83.47571 17 2004 74...

Hi, I am not sure how to fix the following error. LGD <- c(11.6, 12.3, 15.8, 33.1, 43.5, 51.3, 67.3, 84.9) cor (x=(file [1:47231,3:10]), y= rep (LGD, 47231), method = "pearson") Error in cor(x = (file[1:47231, 3:10]), y = rep(LGD, 47231), method = "pearson") : incompatible dimensions > sessio...

Dear R forum I have following variables - EAD = 10000 LGD = 0.45 PD = 0.47 M = 3 # Equation 1 R = 0.12*(1-exp(-50*PD))/(1-exp(-50)) + 0.24*(1-(1-exp(-50*PD))/(1-exp(-50))) b = (0.11852 - 0.05478 * log(PD))^2 K = (LGD * pnorm((1 - R)^(-0.5) * qnorm(PD) + (R / (1 - R))^0.5 * qnorm(0.999)) - PD * LGD) * (1 - 1.5 * b)^(-1) * (1 + (M - 2.5) * b) RWA = K *...

...a distribution to generate the random no.s (recovery rates in my example). However, each time I need to save these random no.s in a csv format. To distinguish different csv files, one way I thought was use of Sys.time in the file name. My code is as follows - # My code rr = rbeta(25, 6.14, 8.12) lgd = 1 - mean(rr) write.csv(data.frame(recovery_rates = rr), file = paste("recovery_rates_at_", Sys.time(), ".csv", sep = ""), row.names = FALSE) However, I get following error - Error in file(file, ifelse(append, "a", "w")) :   cannot open the con...

...ject.org", getOption("repos"))) require(Rdonlp2) require(Rsolnp) require(Rsolnp2) N <- 3 n <- 100000 r <- 0.0025 ead <- rep(1/3,3) rc <- c("AAA", "AA", "A", "BBB", "BB", "B", "CCC", "D") lgd <- 0.99 rating <- c("BB", "BB", "BBB") firmnames <- c("firm 1", "firm 2", "firm 3") alpha <- 0.99 # One year empirical migration matrix from Standard & Poor's website rc <- c("AAA", "AA", &quot...

Hi, I'm currently beginning to use R for financial analysis (mainly Basel II benchmarks) and I would like to know if any R-User can give me some initial directions on packages and tutorials which I can use to calculate capital requirements, default probabilities, and related stuff. Thanks in advance, Rick [[alternative HTML version deleted]]

...ave problems. The output below is using gcc 3.4.6 (my best attempt, but still ending with the same error as gcc 3.2). Any pointers would be appreciated. Best, Randy system: i686-pc-linux-gnu gcc version: 3.4.6 everything seems to be fine up to this point: . . . make[4]: Entering directory `/home/lgd/rjohnson/bin/R-2.3.0/src/modules/internet' gcc -I. -I../../../src/include -I../../../src/include -I/usr/local/include -DHAVE_CONFIG_H -fpic -g -O2 -std=gnu99 -c Rsock.c -o Rsock.o gcc -I. -I../../../src/include -I../../../src/include -I/usr/local/include -DHAVE_CONFIG_H -fpic -g -O2 -std=g...

Dear all, my new R package LGDtoolkit is now on CRAN. The goal of this package is to cover the most common steps in Loss Given Default (LGD) rating model development. The main procedures available are those that refer to bivariate and multivariate analysis. In particular two statistical methods for multivariate analysis are cur...

Dear all, my new R package LGDtoolkit is now on CRAN. The goal of this package is to cover the most common steps in Loss Given Default (LGD) rating model development. The main procedures available are those that refer to bivariate and multivariate analysis. In particular two statistical methods for multivariate analysis are cur...

...ble to join the Domain from the windows computer I want to add. I though it was that the server was unreachable, but I can ping the server from the computer and viceversa. If someone please can help me, I'll appreciate it. The smb.conf file is here: ------------------- [global] workgroup = LGD netbios name = LGD-SERVER server string = %h server (Samba, Ubuntu) passdb backend = tdbsam security = user username map = /etc/samba/smbusers name resolve order = wins bcast hosts domain logons = yes prefered master = yes wins support = yes # Set CUPS for printing...

...e before (before running "yum remove gd"), I cannot configure it without getting the following error: *************************************************** *************************************************** "checking for gdlib-config... /usr/bin/gdlib-config checking for gdMalloc in -lgd... no configure: error: required library libgd unusable. Install required and dependent files and rerun configure. See config.log or FAQs for details." *************************************************** *************************************************** The part of the config.log which loo...

...very new to R and all, so this could be something basic. I'm trying to use ess-tracebug (Emacs front-end to trace/browser et al). It works great when I trace functions in .R files because browser outputs filename+line-number when it hits a breakpoint. i.e. something like this: debug at /home/lgd/test/R/test3.R#1: { It even moves the cursor as you step through the function. This is just lovely as I'm sure everyone knows. However, in case of a trace on function in a package (ie loaded from a .rdb/.rdx) there is no filename/linenum information probably because its not retained. i.e. i...

...rom nut-2.4.1 to 2.4.3 on a dual-Xeon box running Solaris 10 amd64 (i686-pc-solaris2.10). I configured as follows: ./configure --prefix=/opt/nut --with-gnu-ld --with-serial --without-usb --with-cgi --with-gd-includes=-I/usr/local/include --with-gd-libs="-L/usr/local/lib -R/usr/local/lib -lgd" --with-user=nut --with-group=nut --host=i686-pc-solaris2.10 --build=i686-pc-solaris2.10 --target=i686-pc-solaris2.10 This resulte in a drivers/Makefile containing the following definition: LIBNETSNMP_LDFLAGS = -R../lib -L/usr/sfw/lib -lnetsnmp -lgen -lpkcs11 -lkstat -lelf -lm -ldl -lnsl...

.... > > [*] https://github.com/networkupstools/nut/issues/152 Trouble is shooting back already: ./configure --with-usb --with-cgi --with-doc bails out: checking for gd version via gdlib-config... none found checking for gd include flags... checking for gd library flags... -L/usr/X11R6/lib -lgd -lpng -lz -ljpeg - lfreetype -lm -lXpm -lX11 checking for gd.h... no checking for gdfontmb.h... no checking for library containing gdImagePng... no configure: error: libgd not found, required for CGI build And gdlib does not appear to be available from the repo's. I'd like to have the CGI...

.../usr/bin/gdlib-config libgd-flags according to gdlib-config: -I/usr/include -L/usr/lib -ljpeg -lfontconfig -lpng12 -lz -lm if that is not correct, fix your gd installation checking gd.h usability... yes checking gd.h presence... yes checking for gd.h... yes checking for gdImageCreateFromPng in -lgd... yes checking usability of FreeType in GD... yes checking whether GD programs can be compiled... yes configure: creating ./config.status config.status: creating src/Makevars config.status: creating src/gddconfig.h ** libs i686-pc-linux-gnu-gcc -I/usr/lib/R/include -I/usr/include -I/usr/include -...

...pulled in everything else it was fussing about. The everything else was close to all of tex and latex, something north of 220 megs worth. Drive space I have, but thats a heck of big hunk of dependency. However, the configure is still bailing out: checking for library containing gdImagePng... -lgd checking whether to build CGI programs... yes checking for asciidoc... /usr/bin/asciidoc checking for asciiDoc version... 8.5.2 found checking for a2x... /usr/bin/a2x checking for a2x version... 8.5.2 found checking for dblatex... /usr/bin/dblatex checking for dblatex version... 0.2.12-4 found che...

...mething north of 220 megs worth. Drive > space I have, but thats a heck of big hunk of dependency. You mean that LaTeX isn't on everyone's short list of must-have packages? ;-) > However, the configure is still bailing out: > > checking for library containing gdImagePng... -lgd > checking whether to build CGI programs... yes > checking for asciidoc... /usr/bin/asciidoc > checking for asciiDoc version... 8.5.2 found > checking for a2x... /usr/bin/a2x > checking for a2x version... 8.5.2 found > checking for dblatex... /usr/bin/dblatex > checking for db...

Hi Gene, On Oct 21, 2014, at 9:12 PM, Gene Heskett <gheskett at wdtv.com> wrote: >> configure: error: libgd not found, required for CGI build >> >> And gdlib does not appear to be available from the repo's. > Sorry, I must have missed that message. This is still with Ubuntu 10.04, right? http://packages.ubuntu.com/source/lucid/nut lists the build dependencies,

Dear R helpers I am having recovery rates as given below and I am trying to estimate the Loss Given Default (LGD) and for this I am using Kernel Density estimation method. recovery_rates = c(0.61,0.12,0.10,0.68,0.87,0.19,0.84,0.81,0.87,0.54,0.08,0.65,0.91, 0.56,0.52,0.30,0.41,0.24,0.66,0.35,0.36,0.64,0.55,0.43,0.36,0.28,0.89,0.11,0.23,0.07, 0.66,0.67,0.48,0.86,0.94,0.86,0.00,0.03,0.95,0.65,0.48,0.79,0.96,0.3...