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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 04 Jul. 2026.
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Complete documentation for vasicekfit
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