fitLGDModel
Create specified LGD model object type
Description
creates a loss given default (LGD) model object specified by
lgdModel
= fitLGDModel(data
,ModelType
)data
and ModelType
.
fitLGDModel
takes in credit data in table form and fits a
LGD model. ModelType
is supported for Regression
or Tobit
.
specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax. The available optional name-value pair
arguments depend on the specified lgdModel
= fitLGDModel(___,Name,Value
)ModelType
.
Examples
Input Arguments
Output Arguments
References
[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.