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", "0.2.0")



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 0.2.0, https://cran.r-project.org/web/packages/vasicekfit. Accessed 05 Oct. 2026.
Previous versions and publish date:
(2026-07-10 22:20), 0.1.0 (2026-04-28 20:50)
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

cdlTools  
Tools to Download and Work with USDA Cropscape Data
Downloads USDA National Agricultural Statistics Service (NASS) cropscape data for a specified state ...
Download / Learn more Package Citations See dependency  
correlation  
Methods for Correlation Analysis
Lightweight package for computing different kinds of correlations, such as partial correlations, Ba ...
Download / Learn more Package Citations See dependency  
genie  
Fast, Robust, and Outlier Resistant Hierarchical Clustering
Includes the reference implementation of Genie - a hierarchical clustering algorithm that links two ...
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  

28,905

R Packages

247,686

Dependencies

76,495

Author Associations

28,906

Publication Badges

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