Dear all,
my new R package LGDtoolkit is now on CRAN.
The goal of this package is to cover the most common steps in Loss Given
Default (LGD) rating model development. The main procedures available are
those that refer to bivariate and multivariate analysis.
In particular two statistical methods for multivariate analysis are
currently implemented ? OLS regression and fractional logistic regression.
Both methods are also available within different blockwise model designs,
and both have customized stepwise algorithms. To cover other important
steps for LGD model development, it is recommended to use 'LGDtoolkit'
package along with 'PDtoolkit', and 'monobin' (or
'monobinShiny') packages.
With the next releases package will be extended with a new features. In
particular, validation procedures will be added, and significant part of
the package will be dedicated to the usage of survival analysis for LGD
modeling (extrapolation of LGD for incomplete recoveries, development of
risk differentiation function and collateral haircut modeling).
To check out the current package functionalities run
install.packages("LGDtoolkit") and help(package =
"LGDtoolkit").
To stay up to date with new development features follow the github page:
https://github.com/andrija-djurovic/LGDtoolkit.
I hope some of you will find the package useful.
Kind regards,
Andrija
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