Description Usage Arguments Value References Examples
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) and adjusts it such that the measure has a value of zero if the two ordinal rankings are in reverse order.
1 | clarAdj(y, hx)
|
y |
a vector of realized categories. |
hx |
a vector of predicted categories. |
The function returns the adjusted CLAR for a vector of realized categories y
and a vector of predicted categories hx
.
Ozdemir, B., Miu, P., 2009. Basel II Implementation. A Guide to Developing and Validating a Compliant Internal Risk Rating System. McGraw-Hill, USA.
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