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Lifetime Models for Probability of Default

Estimate loss reserves based on lifetime analysis

Develop and validate Lifetime models for probability of default (PD) based on a lifetime analysis conditional on macroeconomic scenarios. Calculate the estimated loss reserves using Expected Credit Loss (ECL) calculator.

Functions

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fitLifetimePDModelCreate specified lifetime PD model object type
predictCompute conditional PD
predictLifetimeCompute cumulative lifetime PD, marginal PD, and survival probability
modelDiscriminationCompute AUROC and ROC data
modelDiscriminationPlotPlot ROC curve
modelAccuracyCompute RMSE of predicted and observed PDs on grouped data
modelAccuracyPlotPlot observed default rates compared to predicted PDs on grouped data
portfolioECLCompute the lifetime ECL at individual or portfolio level

Objects

LogisticCreate Logistic model object for lifetime probability of default
ProbitCreate Probit model object for lifetime probability of default
CoxCreate Cox model object for lifetime probability of default
customLifetimePDModelCreate customLifetimePDModel object for lifetime probability of default

Topics