Andrija Djurovic
2021-Jun-03 12:16 UTC
[R] [R-pkgs] monobin: Monotonic Binning for Credit Rating Models
Dear R users, I am happy to announce that my package monobin is now available on CRAN. The package contains functions that perform monotonic binning of numeric risk factor in credit rating models (PD, LGD, EAD) development. All functions handle both binary and continuous target variable. Functions that use isotonic regression in the first stage of binning process have an additional feature for correction of minimum percentage of observations and minimum target rate per bin. Additionally, monotonic trend can be identified based on raw data or, if known in advance, forced by functions' argument. Missing values and other possible special values are treated separately from so-called complete cases. Close attention should be paid when modeling continuous target due to possible negative values. Hope that some of you will find the package useful. Best regards, Andrija Djurovic [[alternative HTML version deleted]] _______________________________________________ R-packages mailing list R-packages at r-project.org https://stat.ethz.ch/mailman/listinfo/r-packages