Compute conditional PD
computes the conditional probability of default (PD). conditionalPD
= predict(pdModel
,data
)
[1] Baesens, Bart, Daniel Roesch, and Harald Scheule. Credit Risk Analytics: Measurement Techniques, Applications, and Examples in SAS. Wiley, 2016.
[2] Bellini, Tiziano. IFRS 9 and CECL Credit Risk Modelling and Validation: A Practical Guide with Examples Worked in R and SAS. San Diego, CA: Elsevier, 2019.
[3] Breeden, Joseph. Living with CECL: The Modeling Dictionary. Santa Fe, NM: Prescient Models LLC, 2018.
fitLifetimePDModel
| Logistic
| modelAccuracy
| modelDiscrimination
| predictLifetime
| Probit