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Exposure at Default Models

Estimate exposure at default

Calculate the Exposure at Default (EAD) using a Regression, Tobit, or Beta model to predict the amount of loss exposure for a bank when a debtor defaults on a loan. Calculate the estimated loss reserves using Expected Credit Loss (ECL) calculator.

Functions

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fitEADModelCreate specified EAD model object type
predictPredict exposure at default
modelDiscriminationCompute AUROC and ROC data
modelDiscriminationPlotPlot ROC curve
modelAccuracyCompute R-square, RMSE, correlation, and sample mean error of predicted and observed EADs
modelAccuracyPlotScatter plot of predicted and observed EADs
portfolioECLCompute the lifetime ECL at individual or portfolio level

Objects

RegressionCreate Regression model object for exposure at default
TobitCreate Tobit model object for exposure at default
BetaCreate Beta model object for exposure at default

Topics