Other packages > Find by keyword >

vasicekfit  

Extended Vasicek Credit Loss Model with Macroeconomic Factors
View on CRAN: Click here


Download and install vasicekfit package within the R console
Install from CRAN:
install.packages("vasicekfit")

Install from Github:
library("remotes")
install_github("cran/vasicekfit")

Install by package version:
library("remotes")
install_version("vasicekfit", "0.1.0")



Attach the package and use:
library("vasicekfit")
Maintained by
Dmitriy Mayorov
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-04-28
Latest Update: 2026-04-28
Description:
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.
How to cite:
Dmitriy Mayorov (2026). vasicekfit: Extended Vasicek Credit Loss Model with Macroeconomic Factors. R package version 0.1.0, https://cran.r-project.org/web/packages/vasicekfit. Accessed 09 Jun. 2026.
Previous versions and publish date:
No previous versions
Other packages that cited vasicekfit R package
View vasicekfit citation profile
Other R packages that vasicekfit depends, imports, suggests or enhances
Complete documentation for vasicekfit
Functions, R codes and Examples using the vasicekfit R package
Full vasicekfit package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

handyplots  
Handy Plots
Several handy plots for quickly looking at the relationship between two numeric vectors of equal len ...
Download / Learn more Package Citations See dependency  
linemap  
Line Maps
Create maps made of lines. The package contains one function: linemap(). linemap() displays a map m ...
Download / Learn more Package Citations See dependency  
Formula  
Extended Model Formulas
Infrastructure for extended formulas with multiple parts on the right-hand side and/or multiple res ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
stdReg  
Regression Standardization
Contains functionality for regression standardization. Four general classes of models are allowed; g ...
Download / Learn more Package Citations See dependency  
wheatmap  
Incrementally Build Complex Plots using Natural Semantics
Builds complex plots, heatmaps in particular, using natural semantics. Bigger plots can be assembled ...
Download / Learn more Package Citations See dependency  

27,372

R Packages

233,548

Dependencies

72,820

Author Associations

27,205

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA