I want to apply the knowledge of this paper (Bayesian estimation of probabilities of default for low default portfolios, by Dirk Tasche) in R, but I can't find the right bayesian package and functions to use. Can you help me?

  • $\begingroup$ Your link is not working.# $\endgroup$ – phdstudent Apr 2 '16 at 14:39
  • $\begingroup$ There are a number of Bayesian packages in R. My favorite is Stan. But you'll need to know what you're doing. $\endgroup$ – John Apr 2 '16 at 20:04
  • $\begingroup$ That's the problem, maybe. I'm not able to understand how to apply such things on R, from the part about one observation period and correlated defaults on. I think there are formulas that cannot be applied directly with a specific function, am I right? $\endgroup$ – simmy Apr 2 '16 at 20:10

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.