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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.
| Version: | 0.1.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | stats |
| Suggests: | testthat (≥ 3.0.0), vasicek |
| Published: | 2026-04-28 |
| DOI: | 10.32614/CRAN.package.vasicekfit |
| Author: | Dmitriy Mayorov [aut, cre] |
| Maintainer: | Dmitriy Mayorov <cran at dimview.org> |
| BugReports: | https://github.com/externalmemory/vasicekfit-cran-package/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/externalmemory/vasicekfit-cran-package |
| NeedsCompilation: | no |
| Materials: | README |
| In views: | Finance |
| CRAN checks: | vasicekfit results |
| Reference manual: | vasicekfit.html , vasicekfit.pdf |
| Package source: | vasicekfit_0.1.0.tar.gz |
| Windows binaries: | r-devel: vasicekfit_0.1.0.zip, r-release: vasicekfit_0.1.0.zip, r-oldrel: vasicekfit_0.1.0.zip |
| macOS binaries: | r-release (arm64): vasicekfit_0.1.0.tgz, r-oldrel (arm64): vasicekfit_0.1.0.tgz, r-release (x86_64): not available, r-oldrel (x86_64): not available |
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