Package: PDtoolkit 1.2.1

PDtoolkit: Collection of Tools for PD Rating Model Development and Validation

The goal of this package is to cover the most common steps in probability of default (PD) rating model development and validation. The main procedures available are those that refer to univariate, bivariate, multivariate analysis, calibration and validation. Along with accompanied 'monobin' and 'monobinShiny' packages, 'PDtoolkit' provides functions which are suitable for different data transformation and modeling tasks such as: imputations, monotonic binning of numeric risk factors, binning of categorical risk factors, weights of evidence (WoE) and information value (IV) calculations, WoE coding (replacement of risk factors modalities with WoE values), risk factor clustering, area under curve (AUC) calculation and others. Additionally, package provides set of validation functions for testing homogeneity, heterogeneity, discriminatory and predictive power of the model.

Authors:Andrija Djurovic [aut, cre]

PDtoolkit_1.2.1.tar.gz
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PDtoolkit.pdf |PDtoolkit.html✨
PDtoolkit/json (API)
NEWS

# Install 'PDtoolkit' in R:
install.packages('PDtoolkit', repos = c('https://andrija-djurovic.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/andrija-djurovic/pdtoolkit/issues

Datasets:
  • loans - German Credit Data

On CRAN:

47 exports 15 stars 1.93 score 69 dependencies 82 scripts 418 downloads

Last updated 8 months agofrom:d2013e3d3c. Checks:OK: 3 NOTE: 4. Indexed: yes.

TargetResultDate
Doc / VignettesOKAug 23 2024
R-4.5-winNOTEAug 23 2024
R-4.5-linuxNOTEAug 23 2024
R-4.4-winNOTEAug 23 2024
R-4.4-macNOTEAug 23 2024
R-4.3-winOKAug 23 2024
R-4.3-macOKAug 23 2024

Exports:auc.modelbivariateboots.vldcat.bincat.sliceconfusion.matrixconstrained.logitcreate.partitionscutoff.palettedecision.treedp.testingembedded.blocksencode.woeensemble.blocksevrsfairness.vldheterogeneityhhihomogeneityimp.outliersimp.scinteraction.transformerkfold.idxkfold.vldnormal.testnum.slicenzvpowerpp.testingpsireplace.woerf.clusteringrf.interaction.transformerrs.calibrationscaled.scoresegment.vldsmotestaged.blocksstepFWDstepFWDrstepMIVstepRPCstepRPCrunivariateush.binush.testwoe.tbl

Dependencies:backportsbase64encbslibcachemcheckmatecliclustercolorspacedata.tabledigestdplyrevaluatefansifarverfastmapfontawesomeforeignFormulafsgenericsggplot2gluegridExtragtablehighrHmischtmlTablehtmltoolshtmlwidgetsisobandjquerylibjsonliteknitrlabelinglatticelifecyclemagrittrMASSMatrixmemoisemgcvmimemonobinmunsellnlmennetpillarpkgconfigR6rappdirsRColorBrewerrlangrmarkdownrpartrstudioapisassscalesstringistringrtibbletidyselecttinytexutf8vctrsviridisviridisLitewithrxfunyaml

Readme and manuals

Help Manual

Help pageTopics
Area under curve (AUC)auc.model
Bivariate analysisbivariate
Bootstrap model validationboots.vld
Categorical risk factor binningcat.bin
Slice categorical variablecat.slice
Confusion matrixconfusion.matrix
Constrained logistic regressionconstrained.logit
Create partitions (aka nested dummy variables)create.partitions
Palette of cutoff values that minimize and maximize metrics from the confusion matrixcutoff.palette
Custom decision tree algorithmdecision.tree
Testing the discriminatory power of PD rating modeldp.testing
Embedded blocks regressionembedded.blocks
Encode WoEencode.woe
Ensemble blocks regressionensemble.blocks
Modelling the Economic Value of Credit Rating Systemevrs
Model fairness validationfairness.vld
Testing heterogeneity of the PD rating modelheterogeneity
Herfindahl-Hirschman Index (HHI)hhi
Testing homogeneity of the PD rating modelhomogeneity
Imputation methods for outliersimp.outliers
Imputation methods for special casesimp.sc
Extract risk factors interaction from decision treeinteraction.transformer
Indices for K-fold validationkfold.idx
K-fold model cross-validationkfold.vld
German Credit Dataloans
Multi-period predictive power testnormal.test
Slice numeric variablenum.slice
Near-zero variancenzv
Power of statistical tests for predictive ability testingpower
Testing the predictive power of PD rating modelpp.testing
Predict method for custom decision treepredict.cdt
Population Stability Index (PSI)psi
Replace modalities of risk factor with weights of evidence (WoE) valuereplace.woe
Risk factor clusteringrf.clustering
Extract interactions from random forestrf.interaction.transformer
Calibration of the rating scalers.calibration
Scaling the probabilitiesscaled.score
Model segment validationsegment.vld
Synthetic Minority Oversampling Technique (SMOTE)smote
Staged blocks regressionstaged.blocks
Customized stepwise regression with p-value and trend checkstepFWD
Customized stepwise regression with p-value and trend check on raw risk factorsstepFWDr
Stepwise logistic regression based on marginal information value (MIV)stepMIV
Stepwise logistic regression based on risk profile conceptstepRPC
Stepwise regression based on risk profile concept and raw risk factorsstepRPCr
Univariate analysisunivariate
U-shape binning algorithmush.bin
Testing for U-shape relationush.test
Weights of evidence (WoE) tablewoe.tbl