Lifetime Models for Probability of Default
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
Objects
Logistic | Create Logistic model object for lifetime probability of
default (Since R2020b) |
Probit | Create Probit model object for lifetime probability of
default (Since R2020b) |
Cox | Create Cox model object for lifetime probability of
default (Since R2021b) |
customLifetimePDModel | Create customLifetimePDModel object for lifetime probability
of default (Since R2022b) |
Topics
- Overview of Lifetime Probability of Default Models
Estimate loss reserves based on a lifetime analysis conditional on macroeconomic scenarios.
- Basic Lifetime PD Model Validation
This example shows how to perform basic model validation on a lifetime probability of default (PD) model by viewing the fitted model, estimated coefficients, and p-values.
- Compare Logistic Model for Lifetime PD to Champion Model
This example shows how to compare a new
Logistic
model for lifetime PD against a "champion" model. - Compare Lifetime PD Models Using Cross-Validation
This example shows how to compare three lifetime PD models using cross-validation.
- Expected Credit Loss Computation
This example shows how to perform expected credit loss (ECL) computations with
portfolioECL
using simulated loan data, macro scenario data, and an existing lifetime probability of default (PD) model. - Compare Model Discrimination and Model Calibration to Validate of Probability of Default
This example shows some differences between discrimination and calibration metrics for the validation of probability of default (PD) models.
- Modeling Probabilities of Default with Cox Proportional Hazards
This example shows how to work with consumer (retail) credit panel data to visualize observed probabilities of default (PDs) at different levels.
- Interpret and Stress-Test Deep Learning Networks for Probability of Default
Train a credit risk for probability of default (PD) prediction using a deep neural network.
- Create Custom Lifetime PD Model for Credit Scorecard Model with Function Handle
This example shows how to use
customLifetimePDModel
to create a lifetime model for the probability of default. - Create Custom Lifetime PD Model for Decision Tree Model with Function Handle
This example shows how to fit a decision tree model for credit scoring and then use the
customLifetimePDModel
object to create a lifetime model for probability of default. - Incorporate Macroeconomic Scenario Projections in Loan Portfolio ECL Calculations
This example shows how to generate macroeconomic scenarios and perform expected credit loss (ECL) calculations for a portfolio of loans.
- Create Weighted Lifetime PD Model
This example shows how to use
fitLifetimePDModel
to create a PD model using weighted credit and macroeconomic data.