Package: creditratingsystem 0.1.0
Dimitrios Geromichalos
creditratingsystem: Offline Credit Risk Modelling, Calibration and Validation
Native credit risk calculations, statistical estimation, calibration, validation and cash flow simulation using local structured data. Methods cover consumer and business lending with explicit modelling assumptions, diagnostics and reproducible reference data.
Authors:
creditratingsystem_0.1.0.tar.gz
creditratingsystem_0.1.0.zip(r-4.7-any)creditratingsystem_0.1.0.zip(r-4.6-any)
creditratingsystem_0.1.0.tar.gz(r-4.7-any)creditratingsystem_0.1.0.tar.gz(r-4.6-any)
creditratingsystem_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
creditratingsystem/json (API)
| # Install 'creditratingsystem' in R: |
| install.packages('creditratingsystem', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:c241c53223. Checks:6 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel | OK | 368 | ||
| source / vignettes | OK | 266 | ||
| linux-release | OK | 271 | ||
| windows-devel | OK | 497 | ||
| windows-release | OK | 521 | ||
| wasm-release | OK | 122 |
Exports:affordability_stress_backtestaggregate_household_obligationsaggregate_netting_set_exposureaggregate_portfolio_lossallocate_expected_shortfallallocate_guarantee_coverageapply_assessment_eventapply_calibratorapply_cash_waterfallapply_credit_decision_policyapply_guarantee_riskapply_overrideapply_parent_supportapply_qualitative_adjustmentsapply_rating_constraintsapply_satellite_modelassemble_joint_applicationassess_affordabilityassess_counterfactual_robustnessassess_expert_rating_agreementassess_policy_robustnessassess_rating_applicabilityassess_transfer_applicabilityasset_pool_backtestassign_default_groupsassign_delinquency_stateassign_model_roleassign_retail_risk_poolasymptotic_factor_lossauc_ginibenchmark_predictionsbenchmark_ratingsbinomial_pd_testblock_bootstrap_scenariosbootstrap_cds_hazard_curvebrier_scorebuild_account_month_panelbuild_application_snapshotbuild_application_targetsbuild_behavioral_targetsbuild_bnpl_obligation_featuresbuild_bureau_featuresbuild_calculation_contextbuild_collections_action_historybuild_collections_episodesbuild_credit_asset_poolbuild_credit_quote_snapshotbuild_cure_targetsbuild_customer_household_graphbuild_debt_schedulebuild_distributed_lagsbuild_entity_graphbuild_financial_ratiosbuild_monitoring_cohortsbuild_observation_windowsbuild_payment_history_featuresbuild_rating_subjectsbuild_recovery_episodesbuild_retail_sme_featuresbuild_revolving_featuresbuild_selection_datasetbuild_thin_file_featuresbuild_transaction_featuresbuild_vintage_performancecalibrate_betacalibrate_bond_hazard_curvecalibrate_distance_pd_mappingcalibrate_grade_pdcalibrate_interceptcalibrate_isotoniccalibrate_lgd_levelcalibrate_logisticcalibration_curvecalibration_intercept_slopecds_expected_cashflow_legscheck_assessment_freshnesscheck_expert_preference_consistencyclassify_monitoring_findingscloseout_exposure_at_defaultcollections_backtestcombine_default_transfercombine_pd_signalscombined_loan_to_valuecompare_cds_bond_credit_basiscompare_challenger_cohortscompare_offer_riskcompile_credit_decision_policycompile_discrete_bayesian_networkcompile_qualitative_rubriccompose_risk_assessmentcompute_credit_alecompute_credit_icecompute_days_past_duecompute_limit_frontiercompute_risk_based_price_gridcompute_woe_ivcondition_macro_pathsconditional_pd_from_cumulativecontent_fingerprintcounterparty_expected_losscounterparty_exposure_backtestcovered_bond_dual_recoursecredit_concentration_measurescredit_loss_distributioncredit_permutation_importancecumulative_pd_from_conditionaldebt_service_to_incomedebt_to_incomedecision_policy_backtestdecompose_hybrid_predictiondecompose_policy_decisiondefault_count_backtestdependent_pd_backtestdetect_cashflow_defaultdetect_credit_feature_driftdetect_pd_calibration_driftdiagnose_fairness_slicesdiagnose_market_credit_identifiabilitydiscount_recoveriesdistance_to_defaultead_backtestestimate_credit_shapley_valuesestimate_downturn_lgdestimate_long_run_pdestimate_margin_of_conservatismestimate_multistate_transitionsestimate_open_workout_lgdestimate_pool_risk_parametersestimate_population_risk_aipwestimate_recurring_expensesestimate_retail_roll_ratesestimate_simulation_riskestimate_survival_curveestimate_tranche_credit_metricsestimate_transition_matrixevaluate_decision_gridevaluate_model_graphevaluate_qualitative_evidenceevaluate_treatment_candidatesevent_conditioned_lossexpected_collections_valueexpected_lossexpected_loss_from_pathsexplain_linear_credit_predictionexposure_schedulefind_feasible_credit_counterfactualfirst_passage_pdfit_aft_modelfit_bayesian_pdfit_beta_lgdfit_binary_glmfit_cause_specific_hazardsfit_copulafit_cox_phfit_discrete_hazardfit_discriminant_pdfit_dynamic_factorfit_ead_modelfit_elicited_beta_priorfit_fine_grayfit_firth_logitfit_fractional_lgdfit_gam_pdfit_gradient_boosting_pdfit_hierarchical_calibrationfit_joint_selection_modelfit_market_to_physical_pd_bridgefit_model_selection_protocolfit_monotone_binsfit_naive_bayes_pdfit_neural_pdfit_ordinal_modelfit_penalized_glmfit_preprocessorfit_random_forest_pdfit_recovery_hurdlefit_regime_switchingfit_regularization_pathfit_retail_risk_poolsfit_satellite_modelfit_scorecardfit_selection_propensityfit_sequence_pdfit_stacked_pdfit_stepwisefit_svm_scorefit_varfit_vecmfit_zero_one_inflated_lgdfuzzy_reject_augmentationgenerate_asset_pool_reference_worldgenerate_challenge_casesgenerate_facility_workoutsgenerate_macro_reference_worldgenerate_obligor_panelgenerate_retail_reference_worldgenerate_system_event_reference_worldhazard_to_pdhosmer_lemeshow_testimportance_sample_defaultsincremental_credit_riskinfer_discrete_credit_networkinfer_merton_assetsjoin_as_ofjoint_default_probabilityks_discriminationlgd_backtestlifetime_expected_lossload_fitted_modellog_losslow_default_boundmake_grouped_temporal_splitsmake_shared_innovationsmap_pd_to_grademarginal_pd_from_conditionalmerton_default_probabilitymerton_equity_valuemonitor_rating_cohortnormalize_income_periodoverride_monitoringparcel_rejected_applicationspit_ttc_transformpoisson_binomial_pd_testpool_expert_probability_distributionspopulation_reweightingpopulation_stabilitypredict_application_riskpredict_behavioral_riskpredict_cure_and_redefaultpredict_eadpredict_event_curvespredict_lgdpredict_model_scorepredict_pdprepare_credit_portfolioprepare_reject_evaluationproject_retail_roll_ratesproject_transition_matrixrank_credit_reason_codesrate_subject_batchrating_migration_backtestread_local_datasetrealized_ccfreceivables_borrowing_basereconcile_card_authorizationsreconcile_income_evidenceregister_rating_model_versionreject_inference_boundsreject_inference_sensitivityrelease_candidate_assessmentreplay_assessment_historyreplay_consistencyresample_fit_uncertaintyresidual_incomeresolve_parent_linksretail_pool_diagnosticsreverse_stress_scenariorisky_bond_expected_cashflowsroll_rate_backtestrollback_model_assignmentroute_rating_profilerun_tranche_waterfallscale_score_pointsscore_scorecardscorecard_reason_codesselect_constrained_policyselect_effective_modelselection_bias_sensitivityselection_ipw_weightssensitivity_analysisserialize_fitted_modelsimulate_asset_poolsimulate_asset_valuessimulate_collateral_marginsimulate_contract_counterpartiessimulate_copulasimulate_credit_portfoliosimulate_macro_scenariossimulate_operating_cashflowssimulate_portfolio_migrationssimulate_recovery_waterfallsimulate_repayment_arrangementsimulate_structural_pathssimulate_trade_receivablessimulate_transactionssimulation_convergencesolve_contagion_networkspiegelhalter_teststress_affordabilitystress_pool_counterpartiesstress_portfolio_factor_structurestress_tranche_structuresupport_transfer_backtestsurvival_backtesttranche_loss_from_pooltransfer_event_default_probabilitytransfer_loss_componentstransform_featurestransform_macro_historytransition_assessment_stateupdate_expert_beta_binomialupdate_odds_from_evidencevalidate_credit_datasetvalidate_dependence_matrixvalidate_probabilityvalidate_rating_scalevalidate_retail_cohortvalidate_retail_datasetvalidate_source_lineagevalidate_synthetic_worldvalidate_system_coveragevalidation_reportvintage_backtestworkout_lgd
Dependencies:ADGofTestbrglm2classclustercodetoolscolorspacecopuladata.tabledigeste1071enrichwithforeachglmnetgsliteratorsjsonliteKFASlatticelmtestlpSolveMASSMatrixmvtnormnleqslvnlmennetnumDerivpcaPPproxypsplineRcppRcppEigensandwichshapestablediststatmodstrucchangesurvivalurcavarsxgboostzoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Explicit Affordability Ratios and Income Surplus | assess_affordability combined_loan_to_value debt_service_to_income debt_to_income estimate_recurring_expenses normalize_income_period residual_income stress_affordability |
| Verify Frozen Household Stress Assessments | affordability_stress_backtest |
| Application evidence, selection-aware targets and conditional risk | assemble_joint_application build_application_snapshot build_application_targets compare_offer_risk predict_application_risk |
| Shared Finite Counterfactual Robustness Scenarios | assess_counterfactual_robustness |
| Observed Asset-Pool and Tranche Cash Validation | asset_pool_backtest |
| Dated Behavioral Account Risk and State Dynamics | assign_delinquency_state build_account_month_panel build_behavioral_targets build_vintage_performance compute_days_past_due estimate_retail_roll_rates predict_behavioral_risk project_retail_roll_rates |
| Build an Explicit Reproducible Calculation Context | build_calculation_context |
| Fit and Apply Frozen Probability Calibration | apply_calibrator calibrate_intercept calibrate_isotonic calibrate_logistic |
| Explicit Calibration, Uncertainty and Model Selection | calibrate_beta calibrate_grade_pd calibrate_lgd_level estimate_margin_of_conservatism fit_hierarchical_calibration fit_model_selection_protocol fit_regularization_path fit_stepwise low_default_bound population_reweighting resample_fit_uncertainty |
| Proper-prior Bayesian logit and probit posterior simulation | fit_bayesian_pd |
| Constrained logistic spline models and portable tree ensembles | fit_gam_pd fit_gradient_boosting_pd fit_random_forest_pd |
| Portable probabilistic classification models and explicit raw scores | fit_discriminant_pd fit_firth_logit fit_naive_bayes_pd fit_ordinal_model fit_penalized_glm fit_svm_score predict_model_score |
| Native portable MLP, GRU and LSTM credit likelihood models | fit_neural_pd fit_sequence_pd |
| Dated Collections Episodes, Operational Cure and Recovery Economics | build_collections_action_history build_collections_episodes build_cure_targets expected_collections_value simulate_repayment_arrangement |
| Validate Dated Collections Cashflow Forecasts | collections_backtest |
| Compile, evaluate and explain local credit decision policies | apply_credit_decision_policy compile_credit_decision_policy decompose_policy_decision |
| Supported First and Purified Second-Order Accumulated Local Effects | compute_credit_ale |
| Feasible Ordered Local Credit Prediction Paths | compute_credit_ice |
| Canonical Content Fingerprint for Local Data Contracts | content_fingerprint |
| Validate Frozen Counterparty Exposure and Closeout Forecasts | counterparty_exposure_backtest |
| Capped issuer, cover-pool and residual-estate recovery | covered_bond_dual_recourse |
| Local typed credit data and dated observation preparation | build_observation_windows build_recovery_episodes join_as_of make_grouped_temporal_splits read_local_dataset validate_credit_dataset |
| Explicit Dependence Models and Addressed Innovations | fit_copula joint_default_probability make_shared_innovations simulate_copula validate_dependence_matrix |
| Dated relationships and explicit risk adjustment contracts | allocate_guarantee_coverage apply_guarantee_risk apply_override apply_parent_support apply_rating_constraints assign_default_groups build_entity_graph resolve_parent_links solve_contagion_network |
| Portfolio Loss Distribution, Tail Allocation and Concentration | allocate_expected_shortfall asymptotic_factor_loss credit_concentration_measures credit_loss_distribution incremental_credit_risk |
| Frozen Held-Out Grouped Permutation Importance | credit_permutation_importance |
| First-Default Probabilities from Period Hazards | cumulative_pd_from_conditional marginal_pd_from_conditional |
| Historical Decision-Policy Backtest | decision_policy_backtest |
| Local Limit, Quote and Treatment Scenario Economics | compute_limit_frontier compute_risk_based_price_grid evaluate_treatment_candidates |
| Held-Out Policy Evaluation, Constrained Selection and Robustness | assess_policy_robustness evaluate_decision_grid select_constrained_policy |
| Cashflow Double Test and Independent Default Triggers | detect_cashflow_default |
| Dated Drawn Exposure Schedules and Realized Conversion Factors | exposure_schedule realized_ccf |
| Signed Netting, Collateral Unit Ledgers and Frozen Closeout Exposure | aggregate_netting_set_exposure closeout_exposure_at_default simulate_collateral_margin |
| Frozen CCF Conditional Means and Direct EAD Distributions | fit_ead_model predict_ead |
| Estimate observed long-run annual default rates | estimate_long_run_pd |
| Sampling Aware Default and Joint Loss Estimates | estimate_simulation_risk |
| Definition-specific tranche risk and paired structure stress | estimate_tranche_credit_metrics stress_tranche_structure |
| Expected Default Loss | expected_loss |
| Documented Expert Probabilities, Agreement and Exact Finite Networks | assess_expert_rating_agreement check_expert_preference_consistency compile_discrete_bayesian_network fit_elicited_beta_prior infer_discrete_credit_network pool_expert_probability_distributions update_expert_beta_binomial update_odds_from_evidence |
| Frozen Qualitative Rubrics and Dated Structured Evidence | compile_qualitative_rubric evaluate_qualitative_evidence |
| Frozen Linear and Grouped Shapley Credit Attribution | estimate_credit_shapley_values explain_linear_credit_prediction |
| Frozen training transformations and auditable financial features | build_distributed_lags build_financial_ratios compute_woe_iv fit_monotone_bins fit_preprocessor transform_features |
| Finite-Domain Feasible Credit Counterfactual Search | find_feasible_credit_counterfactual |
| Estimate and Apply Binary Probability Models | fit_binary_glm predict_pd |
| Compatible PD Pooling, Held-Out Stacking and Frozen Model Graphs | combine_pd_signals decompose_hybrid_prediction evaluate_model_graph fit_stacked_pd |
| Gaussian Importance Sampling for First Default and Loss | importance_sample_defaults |
| Dated Recovery Valuation and Raw Economic Workout LGD | discount_recoveries workout_lgd |
| Declared Adverse-Scenario Conditional LGD Comparison | estimate_downturn_lgd |
| Frozen Conditional LGD Mean and Distribution Models | fit_beta_lgd fit_fractional_lgd fit_zero_one_inflated_lgd predict_lgd |
| Residual Terminal Payouts and Open Workout Valuation | estimate_open_workout_lgd fit_recovery_hurdle |
| Joint Path, Exclusive Event and Portfolio Loss Expectations | aggregate_portfolio_loss counterparty_expected_loss event_conditioned_loss expected_loss_from_paths lifetime_expected_loss |
| Release-Aware Macro Dynamics, Cycle Laws and Satellite Transmission | apply_satellite_model block_bootstrap_scenarios condition_macro_paths fit_dynamic_factor fit_regime_switching fit_satellite_model fit_var fit_vecm reverse_stress_scenario simulate_macro_scenarios transform_macro_history |
| Local Market Credit Pricing, Calibration and Historical Physical PD | bootstrap_cds_hazard_curve build_credit_quote_snapshot calibrate_bond_hazard_curve cds_expected_cashflow_legs compare_cds_bond_credit_basis diagnose_market_credit_identifiability fit_market_to_physical_pd_bridge risky_bond_expected_cashflows |
| Dated Local Model Roles and Monitoring Escalation | assign_model_role classify_monitoring_findings rollback_model_assignment |
| Mature-outcome monitoring, distribution drift and paired diagnostics | build_monitoring_cohorts compare_challenger_cohorts detect_credit_feature_drift detect_pd_calibration_drift diagnose_fairness_slices monitor_rating_cohort |
| Default curve inversion, annual hazards and rating migration | conditional_pd_from_cumulative estimate_transition_matrix hazard_to_pd project_transition_matrix |
| Explicit Gaussian factor PIT and TTC transformation | pit_ttc_transform |
| Shared Default Groups, Portfolio Migration and Paired Dependence Stress | prepare_credit_portfolio simulate_credit_portfolio simulate_portfolio_migrations stress_portfolio_factor_structure |
| Ordered Cure and Subsequent Re-Default Projections | predict_cure_and_redefault |
| Consolidate Stored Model and Policy Reasons | rank_credit_reason_codes |
| Dated local ratings, immutable model versions and historical replay | apply_assessment_event assess_rating_applicability build_rating_subjects check_assessment_freshness compose_risk_assessment rate_subject_batch register_rating_model_version replay_assessment_history route_rating_profile select_effective_model transition_assessment_state |
| Reconcile Dated Card Authorizations and Settlements | reconcile_card_authorizations |
| Historical Retail Payment and Revolving Features | build_payment_history_features build_revolving_features |
| Booked Cashflow and Retail Liquidity Features | build_transaction_features |
| Dated Bureau, Thin-File and Income Evidence | build_bureau_features build_thin_file_features reconcile_income_evidence |
| Point-in-Time Retail Records and Household Obligations | aggregate_household_obligations build_customer_household_graph validate_retail_dataset |
| Dated BNPL Purchase Plans and Allocated Obligations | build_bnpl_obligation_features |
| Validation of Frozen Retail Risk Pools | retail_pool_diagnostics |
| Frozen Retail Pools and Local Risk Parameters | assign_retail_risk_pool estimate_pool_risk_parameters fit_retail_risk_pools |
| Explicit Small-Business and Household Cash Interactions | build_retail_sme_features |
| Contractual tranche cash accounts and payment priorities | run_tranche_waterfall |
| Estimated logistic scorecards, odds scales and contribution explanations | apply_qualitative_adjustments fit_scorecard scale_score_points scorecard_reason_codes score_scorecard |
| Selection Mechanisms, Reject Inference and Honest Evidence Scopes | build_selection_dataset estimate_population_risk_aipw fit_joint_selection_model fit_selection_propensity fuzzy_reject_augmentation parcel_rejected_applications prepare_reject_evaluation reject_inference_bounds reject_inference_sensitivity selection_ipw_weights |
| Validation of Frozen Selection Candidates | selection_bias_sensitivity |
| Exchange Versioned Local Model Artifacts | load_fitted_model serialize_fitted_model |
| Dated asset pool cashflows with shared default events | simulate_asset_pool |
| Shared Counterparty Defaults and Contract Cashflow Interruptions | simulate_contract_counterparties |
| Dated Recovery Allocation on Shared Default Events | simulate_recovery_waterfall |
| Invoice cashflows with shared debtor, seller and servicer events | simulate_trade_receivables |
| Execute Frozen Transaction Cash Pools on Shared Scenarios | simulate_transactions |
| Contractual Debt Service and Cash Conserving Waterfalls | apply_cash_waterfall build_debt_schedule |
| Explicit Operating Cashflows and Physical Asset Paths | simulate_asset_values simulate_operating_cashflows |
| Counterparty netting, collateral and replacement cash stress | stress_pool_counterparties |
| Asset-based valuation, terminal default, first passage and empirical calibration | calibrate_distance_pd_mapping distance_to_default first_passage_pd infer_merton_assets merton_default_probability merton_equity_value simulate_structural_paths |
| Dated Structured Pools, Static Tranche Loss and Borrowing Bases | build_credit_asset_pool receivables_borrowing_base tranche_loss_from_pool |
| Frozen survival, competing-risk and multistate models | estimate_multistate_transitions estimate_survival_curve fit_aft_model fit_cause_specific_hazards fit_cox_ph fit_discrete_hazard fit_fine_gray predict_event_curves |
| Offline Synthetic Credit Worlds with Shared Actual Innovations | generate_asset_pool_reference_world generate_challenge_cases generate_facility_workouts generate_macro_reference_world generate_obligor_panel generate_retail_reference_world generate_system_event_reference_world validate_synthetic_world |
| Explicit Payment Restrictions and Transfer Default Risk | assess_transfer_applicability combine_default_transfer transfer_event_default_probability transfer_loss_components |
| Validate Probability Values | validate_probability |
| Validate an Explicit Rating Scale and Assign PD Grades | map_pd_to_grade validate_rating_scale |
| Audit Source Lineage and Frozen Historical Replay | replay_consistency validate_source_lineage |
| Assess Explicit System and Release Evidence | release_candidate_assessment validate_system_coverage validation_report |
| Observed binary-outcome validation and exact common-PD count testing | auc_gini binomial_pd_test brier_score calibration_curve calibration_intercept_slope default_count_backtest dependent_pd_backtest hosmer_lemeshow_test ks_discrimination log_loss poisson_binomial_pd_test spiegelhalter_test |
| Frozen Loss, Survival, Population and Migration Validation | ead_backtest lgd_backtest population_stability rating_migration_backtest survival_backtest |
| Paired Frozen Predictions and Dated Rating Benchmarks | benchmark_predictions benchmark_ratings |
| Dated Override and Separately Observed Stage Validation | override_monitoring support_transfer_backtest |
| Simulation Precision and Evaluated Frozen Model Sensitivity | sensitivity_analysis simulation_convergence |
| Retail Cohort and Exact Monthly Transition Validation | roll_rate_backtest validate_retail_cohort |
| Fixed Origination Vintage Backtest | vintage_backtest |