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Loss Given Default Models

Estimate loss given default

Calculate the loss given default (LGD) using a Regression, Tobit, or Beta model. Calculate the estimated loss reserves using Expected Credit Loss (ECL) calculator.

Functions

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

Objects

RegressionCreate Regression model object for loss given default
TobitCreate Tobit model object for loss given default
BetaCreate Beta model object for loss given default

Topics