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 |