Man pages for PDtoolkit
Collection of Tools for PD Rating Model Development and Validation
| auc.model | Area under curve (AUC) |
| bivariate | Bivariate analysis |
| boots.vld | Bootstrap model validation |
| cat.bin | Categorical risk factor binning |
| cat.slice | Slice categorical variable |
| confusion.matrix | Confusion matrix |
| constrained.logit | Constrained logistic regression |
| create.partitions | Create partitions (aka nested dummy variables) |
| cutoff.palette | Palette of cutoff values that minimize and maximize metrics... |
| decision.tree | Custom decision tree algorithm |
| dp.testing | Testing the discriminatory power of PD rating model |
| embedded.blocks | Embedded blocks regression |
| encode.woe | Encode WoE |
| ensemble.blocks | Ensemble blocks regression |
| evrs | Modelling the Economic Value of Credit Rating System |
| fairness.vld | Model fairness validation |
| heterogeneity | Testing heterogeneity of the PD rating model |
| hhi | Herfindahl-Hirschman Index (HHI) |
| homogeneity | Testing homogeneity of the PD rating model |
| imp.outliers | Imputation methods for outliers |
| imp.sc | Imputation methods for special cases |
| interaction.transformer | Extract risk factors interaction from decision tree |
| kfold.idx | Indices for K-fold validation |
| kfold.vld | K-fold model cross-validation |
| loans | German Credit Data |
| normal.test | Multi-period predictive power test |
| num.slice | Slice numeric variable |
| nzv | Near-zero variance |
| power | Power of statistical tests for predictive ability testing |
| pp.testing | Testing the predictive power of PD rating model |
| predict.cdt | Predict method for custom decision tree |
| psi | Population Stability Index (PSI) |
| replace.woe | Replace modalities of risk factor with weights of evidence... |
| rf.clustering | Risk factor clustering |
| rf.interaction.transformer | Extract interactions from random forest |
| rs.calibration | Calibration of the rating scale |
| scaled.score | Scaling the probabilities |
| segment.vld | Model segment validation |
| smote | Synthetic Minority Oversampling Technique (SMOTE) |
| staged.blocks | Staged blocks regression |
| stepFWD | Customized stepwise regression with p-value and trend check |
| stepFWDr | Customized stepwise regression with p-value and trend check... |
| stepMIV | Stepwise logistic regression based on marginal information... |
| stepRPC | Stepwise logistic regression based on risk profile concept |
| stepRPCr | Stepwise regression based on risk profile concept and raw... |
| univariate | Univariate analysis |
| ush.bin | U-shape binning algorithm |
| ush.test | Testing for U-shape relation |
| woe.tbl | Weights of evidence (WoE) table |
