Exposure at Default Models
Exposure at Default (EAD) uses a Regression or Tobit model to predict the amount of loss exposure for a bank when a debtor defaults on a loan.
|Create specified EAD model object type|
|Predict exposure at default|
|Compute AUROC and ROC data|
|Plot ROC curve|
|Compute R-square, RMSE, correlation, and sample mean error of predicted and observed EADs|
|Scatter plot of predicted and observed EADs|
Examples and How To
This example shows how to use
fitEADModel to create a
Regression model and a
Tobit model for exposure at default (EAD) and then compare the results.
Exposure at default (EAD) is the loss exposure for a bank when a debtor defaults on a loan.