clarAdj {VUROCS} | R Documentation |
Adjusted Cumulative LGD Accuracy Ratio
Description
Calculates for a vector of realized categories y
and a vector of predicted categories hx
the cumulative LGD accuarcy ratio (CLAR) according to Ozdemir and Miu (2009) and adjusts it such that the measure has a value of zero if the two ordinal rankings are in reverse order.
Usage
clarAdj(y, hx)
Arguments
y |
a vector of realized categories. |
hx |
a vector of predicted categories. |
Value
The function returns the adjusted CLAR for a vector of realized categories y
and a vector of predicted categories hx
.
References
Ozdemir, B., Miu, P., 2009. Basel II Implementation. A Guide to Developing and Validating a Compliant Internal Risk Rating System. McGraw-Hill, USA.
Examples
clarAdj(rep(1:5,each=3),c(3,3,3,rep(2:5,each=3)))
[Package VUROCS version 1.0 Index]