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

# Collection of Tools for PD Rating Model Development and Validation

## Documentation for package ‘PDtoolkit’ version 1.2.0

- DESCRIPTION file
- Package NEWS
- Package README

## Help Pages

auc.model | Area under curve (AUC)
bivariate | Bivariate analysis
boots.vld | Bootstrap model validation
cat.bin | Categorical risk factor binning
cat.slice | Slice categorical variable
confusion.matrix | Confusion matrix
constrained.logit | Constrained logistic regression
create.partitions | Create partitions (aka nested dummy variables)
cutoff.palette | Palette of cutoff values that minimize and maximize metrics from the confusion matrix
decision.tree | Custom decision tree algorithm
dp.testing | Testing the discriminatory power of PD rating model
embedded.blocks | Embedded blocks regression
encode.woe | Encode WoE
ensemble.blocks | Ensemble blocks regression
evrs | Modelling the Economic Value of Credit Rating System
fairness.vld | Model fairness validation
heterogeneity | Testing heterogeneity of the PD rating model
hhi | Herfindahl-Hirschman Index (HHI)
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.idx | Indices for K-fold validation
kfold.vld | K-fold model cross-validation
loans | German Credit Data
normal.test | Multi-period predictive power test
num.slice | Slice numeric variable
nzv | Near-zero variance
power | Power of statistical tests for predictive ability testing
pp.testing | Testing the predictive power of PD rating model
predict.cdt | Predict method for custom decision tree
psi | Population Stability Index (PSI)
replace.woe | Replace modalities of risk factor with weights of evidence (WoE) value
rf.clustering | Risk factor clustering
rf.interaction.transformer | Extract interactions from random forest
rs.calibration | Calibration of the rating scale
scaled.score | Scaling the probabilities
segment.vld | Model segment validation
smote | Synthetic Minority Oversampling Technique (SMOTE)
staged.blocks | Staged blocks regression
stepFWD | Customized stepwise regression with p-value and trend check
stepFWDr | Customized stepwise regression with p-value and trend check on raw risk factors
stepMIV | Stepwise logistic regression based on marginal information value (MIV)
stepRPC | Stepwise logistic regression based on risk profile concept
stepRPCr | Stepwise regression based on risk profile concept and raw risk factors
univariate | Univariate analysis
ush.bin | U-shape binning algorithm
ush.test | Testing for U-shape relation
woe.tbl | Weights of evidence (WoE) table