Lifetime Models for Probability of Default
Lifetime models for probability of default (PD) estimate loss reserves based on a "lifetime" analysis conditional on macroeconomic scenarios.
Functions
Objects
Examples and How To
- Basic Lifetime PD Model Validation
This example shows how to perform basic model validation on a lifetime probability of default (PD) model by viewing the fitted model, estimated coefficients, andp-values.
- Compare Logistic Model for Lifetime PD to Champion Model
This example shows how to compare a new
Logistic
model for lifetime PD against a "champion" model. - Compare Lifetime PD Models Using Cross-Validation
This example shows how to compare three lifetime PD models using cross-validation.
- Expected Credit Loss Computation
这个例子展示了如何执行预期的信贷loss (ECL) computations with
portfolioECL
using simulated loan data, macro scenario data, and an existing lifetime probability of default (PD) model. - Compare Model Discrimination and Accuracy to Validate of Probability of Default
This example shows some differences between discrimination and accuracy metrics for the validation of probability of default (PD) models.
- Modeling Probabilities of Default with Cox Proportional Hazards
This example shows how to work with consumer (retail) credit panel data to visualize observed probabilities of default (PDs) at different levels.
- Economic Scenarios and Expected Credit Loss Calculations
This example shows how to generate macroeconomic scenarios and perform expected credit loss (ECL) calculations for a portfolio of loans.
Concepts
- Overview of Lifetime Probability of Default Models
Estimate loss reserves based on a lifetime analysis conditional on macroeconomic scenarios.