| Name : R-LGDtoolkit
| |
| Version : 0.2.0
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.6.2
| Date : 2024-06-14 12:10:54
|
| Group : Development/Libraries/Other
| Source RPM : R-LGDtoolkit-0.2.0-lp153.6.2.src.rpm
|
| Size : 0.24 MB
| |
| Packager : (none)
| |
| Summary : Collection of Tools for LGD Rating Model Development
|
Description :
The goal of this package is to cover the most common steps in Loss
Given Default (LGD) rating model development. The main procedures
available are those that refer to bivariate and multivariate analysis.
In particular two statistical methods for multivariate analysis are
currently implemented – OLS regression and fractional logistic
regression. Both methods are also available within different blockwise
model designs and both have customized stepwise algorithms.
Descriptions of these customized designs are available in Siddiqi
(2016) < doi:10.1002/9781119282396.ch10> and Anderson, R.A. (2021)
< doi:10.1093/oso/9780192844194.001.0001>. Although they are explained
for PD model, the same designs are applicable for LGD model with
different underlying regression methods (OLS and fractional logistic
regression). To cover other important steps for LGD model development,
it is recommended to use \'LGDtoolkit\' package along with \'PDtoolkit\',
and \'monobin\' (or \'monobinShiny\') packages. Additionally, \'LGDtoolkit\'
provides set of procedures handy for initial and periodical model
validation.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
