Collection of Tools for LGD Rating Model Development
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Documentation for package ‘LGDtoolkit’ version 0.2.0
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| embedded.blocks | Embedded blocks regression |
| ensemble.blocks | Ensemble blocks regression |
| heterogeneity | Testing heterogeneity of the LGD rating model |
| homogeneity | Testing homogeneity of the LGD rating model |
| interaction.transformer | Extract risk factors interaction from decision tree |
| kfold.idx | Indices for K-fold validation |
| kfold.vld | K-fold model cross-validation |
| lgd.ds.c | Synthetic modeling dataset |
| r.squared | Coefficient of determination |
| rf.interaction.transformer | Extract interactions from random forest |
| sc.merge | Special case merging procedure |
| staged.blocks | Staged blocks regression |
| stepFWD | Customized stepwise (OLS & fractional logistic) regression with p-value and trend check |
| stepRPC | Stepwise (OLS & fractional logistic) regression based on risk profile concept |