Bayesian analysis in R for low default portfolios

Question

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?

Bob Jansen · Answer

If I understand correctly, you're looking for an implementation of Monte Carlo simulations in this paper? If you can't find anything on CRAN or elsewhere on the internet, I think your best bets, in order are:

Contact the author
Implement it yourself

Answered by Bob Jansen on November 8, 2021

Contact the author
Implement it yourself

Bayesian analysis in R for low default portfolios

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