monobin: Monotonic Binning for Credit Rating Models

Performs monotonic binning of numeric risk factor in credit rating models (PD, LGD, EAD) development. All functions handle both binary and continuous target variable. Functions that use isotonic regression in the first stage of binning process have an additional feature for correction of minimum percentage of observations and minimum target rate per bin. Additionally, monotonic trend can be identified based on raw data or, if known in advance, forced by functions' argument. Missing values and other possible special values are treated separately from so-called complete cases.

Getting started

Package details

AuthorAndrija Djurovic [aut, cre]
MaintainerAndrija Djurovic <djandrija@gmail.com>
LicenseGPL (>= 3)
Version0.2.1
URL https://github.com/andrija-djurovic/monobin
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("monobin")

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monobin documentation built on Nov. 22, 2021, 9:08 a.m.