PDtoolkit

Collection of Tools for PD Rating Model Development and Validation

Last update: 20 September 2023

Copyright license: GNU General Public License

Software version identifier: 1.1.0, 0.0.9, 0.1.0, 0.2.0, 0.3.0, 0.4.0, 1.0.0, 1.0.1, 1.1.1, 1.2.0

Description

The goal of this package is to cover the most common steps in probability of default (PD) rating model development and validation. The main procedures available are those that refer to univariate, bivariate, multivariate analysis, calibration and validation. Along with accompanied 'monobin' and 'monobinShiny' packages, 'PDtoolkit' provides functions which are suitable for different data transformation and modeling tasks such as: imputations, monotonic binning of numeric risk factors, binning of categorical risk factors, weights of evidence (WoE) and information value (IV) calculations, WoE coding (replacement of risk factors modalities with WoE values), risk factor clustering, area under curve (AUC) calculation and others. Additionally, package provides set of validation functions for testing homogeneity, heterogeneity, discriminatory and predictive power of the model.

This page was built for software: PDtoolkit