Collection of Tools for PD Rating Model Development and Validation

Documentation for package ‘PDtoolkit’ version 0.2.0

auc.model	Area under curve (AUC)
bivariate	Bivariate analysis
boots.vld	Bootstrap model validation
cat.bin	Categorical risk factor binning
create.partitions	Create partitions (aka nested dummy variables)
dp.testing	Testing the discriminatory power of PD rating model
evrs	Modelling the Economic Value of Credit Rating System
heterogeneity	Testing heterogeneity of the PD rating model
homogeneity	Testing homogeneity of the PD rating model
imp.outliers	Imputation methods for outliers
imp.sc	Imputation methods for special cases
interaction.transformer	Extract risk factors interaction from decision tree
kfold.vld	K-fold model cross-validation
loans	German Credit Data
power	Power of statistical tests for predictive ability testing
pp.testing	Testing the predictive power of PD rating model
psi	Population Stability Index (PSI)
replace.woe	Replace modalities of risk factor with weights of evidence (WoE) value
rf.clustering	Risk factor clustering
rs.calibration	Calibration of the rating scale
scaled.score	Scaling the probabilities
segment.vld	Model segment validation
stepMIV	Stepwise logistic regression based on marginal information value (MIV)
univariate	Univariate analysis
woe.tbl	Weights of evidence (WoE) table