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Lifetime Models for Probability of Default

Estimate loss reserves based on lifetime analysis

Develop and validate Lifetime models for probability of default (PD) based on a lifetime analysis conditional on macroeconomic scenarios. Calculate the estimated loss reserves using Expected Credit Loss (ECL) calculator.

Functions

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fitLifetimePDModelCreate specified lifetime PD model object type (Since R2020b)
predictCompute conditional PD (Since R2020b)
predictLifetimeCompute cumulative lifetime PD, marginal PD, and survival probability (Since R2020b)
modelDiscriminationCompute AUROC and ROC data (Since R2020b)
modelDiscriminationPlotPlot ROC curve (Since R2021a)
modelCalibrationCompute RMSE of predicted and observed PDs on grouped data (Since R2023a)
modelCalibrationPlotPlot observed default rates compared to predicted PDs on grouped data (Since R2023a)
discardResidualsDiscard residual information of underlying Cox model (Since R2023a)
modelAccuracyCompute RMSE of predicted and observed PDs on grouped data (Since R2020b)
modelAccuracyPlotPlot observed default rates compared to predicted PDs on grouped data (Since R2021a)
portfolioECLCompute the lifetime ECL at individual or portfolio level (Since R2022a)

Objects

LogisticCreate Logistic model object for lifetime probability of default (Since R2020b)
ProbitCreate Probit model object for lifetime probability of default (Since R2020b)
CoxCreate Cox model object for lifetime probability of default (Since R2021b)
customLifetimePDModelCreate customLifetimePDModel object for lifetime probability of default (Since R2022b)

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