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.
|Create specified lifetime PD model object type|
|Compute conditional PD|
|Compute cumulative lifetime PD, marginal PD, and survival probability|
|Compute AUROC and ROC data|
|Plot ROC curve|
|Compute RMSE of predicted and observed PDs on grouped data|
|Plot observed default rates compared to predicted PDs on grouped data|
Lifetime Expected Credit Loss (ECL) Calculator
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 Logistic Model for Lifetime PD to Champion Model
This example shows how to compare a new
Logisticmodel 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
This example shows how to perform expected credit loss (ECL) computations with
portfolioECLusing 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.
- Overview of Lifetime Probability of Default Models
Estimate loss reserves based on a lifetime analysis conditional on macroeconomic scenarios.