Main Content

Exposure at Default Models

Estimate exposure at default

Exposure at Default (EAD) uses a Regression or Tobit model to predict the amount of loss exposure for a bank when a debtor defaults on a loan.

Functions

fitEADModelCreate specified EAD model object type
predictPredict exposure at default
modelDiscriminationCompute AUROC and ROC data
modelDiscriminationPlotPlot ROC curve
modelAccuracyCompute R-square, RMSE, correlation, and sample mean error of predicted and observed EADs
modelAccuracyPlotScatter plot of predicted and observed EADs

Objects

RegressionCreate Regression model object for exposure at default
TobitCreate Tobit model object for exposure at default

Examples and How To

Compare Results for Regression and Tobit EAD Models

This example shows how to use fitEADModel to create a Regression model and a Tobit model for exposure at default (EAD) and then compare the results.

Concepts

Overview of Exposure at Default Models

Exposure at default (EAD) is the loss exposure for a bank when a debtor defaults on a loan.