vastol: Bootstrap Alternative to Vasicek Test.

In boottol: Bootstrap Tolerance Levels for Credit Scoring Validation Statistics

Description

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

Usage

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

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

boottol documentation built on May 1, 2019, 9:26 p.m.