Compute cumulative lifetime PD, marginal PD, and survival probability
computes the cumulative lifetime probability of default (PD), marginal PD, and
survival probability. LifeTimePredictedPD
= predictLifetime(pdModel
,data
)
specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax.LifeTimePredictedPD
= predictLifetime(___,Name,Value
)
[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
| predict
| Probit