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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 (Since R2021b)
predictPredict exposure at default (Since R2021b)
modelDiscriminationCompute AUROC and ROC data (Since R2021b)
modelDiscriminationPlotPlot ROC curve (Since R2021b)
modelCalibrationCompute R-square, RMSE, correlation, and sample mean error of predicted and observed EADs (Since R2023a)
modelCalibrationPlotScatter plot of predicted and observed EADs (Since R2023a)
modelAccuracyCompute R-square, RMSE, correlation, and sample mean error of predicted and observed EADs (Since R2021b)
modelAccuracyPlotScatter plot of predicted and observed EADs (Since R2021b)
portfolioECLCompute the lifetime ECL at individual or portfolio level (Since R2022a)

Objects

RegressionCreate Regression model object for exposure at default (Since R2021b)
TobitCreate Tobit model object for exposure at default (Since R2021b)
BetaCreate Beta model object for exposure at default (Since R2022b)

Topics