[R] [R-pkgs] monobin: Monotonic Binning for Credit Rating Models
dj@ndr|j@ @end|ng |rom gm@||@com
Thu Jun 3 14:16:21 CEST 2021
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.
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