clar: Cumulative LGD Accuracy Ratio

In VUROCS: Volume under the ROC Surface for Multi-Class ROC Analysis

Description

Calculates for a vector of realized categories y and a vector of predicted categories hx the cumulative LGD accuarcy ratio (CLAR) according to Ozdemir and Miu 2009.

Usage

clar(y, hx)

Arguments

y	a vector of realized values.
hx	a vector of predicted values.

Value

The function returns the CLAR for a vector of realized categories y and a vector of predicted categories hx.

References

Ozdemir, B., Miu, P., 2009. Basel II Implementation. A Guide to Developing and Validating a Compliant Internal Risk Rating System. McGraw-Hill, USA.

Examples

clar(rep(1:5,each=3),c(3,3,3,rep(2:5,each=3)))

Example output

[1] 0.84

VUROCS documentation built on April 14, 2020, 6:47 p.m.