Bootstrap Alternative to Vasicek Test.

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Description

Creates 100(1-alpha) percent bootstrap percentile confidence intervals as an alternative to the Vasicek test.

Usage

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vastol(segment, target, bootsamp, grp, alpha, lower)

Arguments

segment

- The score groupings.

target

- The binary target variable.

bootsamp

- How many bootstrap samples to be computed. When bootsamp is too low, a warning will be produced.

grp

- An integer value of how the segments are grouped.

alpha

- Confidence level.

lower

- Set equal to 1 if calculating a lower bound.

References

[1] Glennon, D., “Managing Model Risk in Retail Scoring," Credit Risk Analysis Division Office of the Comptroller of the Currency, September 2012.

Examples

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data("vasdata")
vas.level=vastol(segment=vasdata$segment,target=vasdata$response
,bootsamp=500,grp=10,alpha=0.99,lower=1)