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Lifetime Models for Probability of Default

Estimate loss reserves based on lifetime analysis

Lifetime models for probability of default estimate loss reserves based on a "lifetime" analysis conditional on macroeconomic scenarios.

Functions

fitLifetimePDModelCreate specified lifetime PD model object type
predictCompute conditional PD
predictLifetimeCompute cumulative lifetime PD, marginal PD, and survival probability
modelDiscriminationCompute AUROC and ROC data
modelAccuracyCompute RMSE of predicted and observed PDs on grouped data

Objects

LogisticCreate Logistic model object for lifetime probability of default
ProbitCreate Probit model object for lifetime probability of default

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, and p-values.

Compare Logisitic 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 two lifetime PD models using cross-validation.

Expected Credit Loss (ECL) Computation

This example show how to perform ECL computations using simulated loan data, macro scenario data, and an existing lifetime probability of default (PD) model.

Concepts

Overview of Lifetime Probability of Default (PD) Models

Estimate loss reserves based on a lifetime analysis conditional on macroeconomic scenarios.